A look at the major activity in structured finance over the past seven days
Pipeline
It has been another busy week for the pipeline, with ABS, RMBS, CMBS and CLO transactions all being announced. Much of the activity was in RMBS, where Nationstar announced six series of notes.
Nationstar is bringing Nationstar Mortgage Advance Receivables Trust Series 2013-VF1, 2013-VF2, 2013-VF3, 2013-T1, 2013-T2 and 2013-T3 to the market, with a total size of US$2.022bn. These deals were joined by US$303.3m EverBank Mortgage Loan Trust 2013-2, Phedina Hypotheken 2013-I and Sequoia Mortgage Trust 2013-8.
Meanwhile, ABS transactions entering the pipeline comprised £1bn Motor 2013-1, US$584m PHEAA SLT 2013-1 and US$104.3m South Texas Higher Education Authority 2013-1. The CMBS were US$1.4bn COMM 2013-CCRE8 and C$220m TD Canada Trust Tower Senior Secured Mortgage Bonds.
Finally, the CLOs consisted of US$412m Anchorage Capital CLO 2013-1, US$400m GLG Ore Hill CLO 2013-1 and US$471m Mountain Hawk II CLO.
Pricings
New prints were largely focused in ABS and CLOs, but there was also one RMBS.
The ABS were US$986.04m Ally Auto Receivables Trust 2013-SN1, €800m Bavarian Sky German Auto Loans I, US$121.41m CarNow Auto Receivables Trust 2013-1, US$599.7m Edsouth Indenture No.4 Series 2013-1 and €3.133m Florence SPV 1.
The RMBS new issue was US$442.54 JPMorgan Mortgage Trust 2013-2, while the CLO pricings comprised €834m Atlantes SME 2, US$413m Atlas Senior Loan Fund III, US$416m Dryden XXVIII Senior Loan Fund, US$421m NewMark CLO 2013-1 and US$516m Tryon Park CLO 2013-1.
Markets
US CLO BWIC volume totalled US$450m last week, just over half of the total from the week before. Bid-lists were spread across the entire ratings spectrum and included both legacy and CLO 2.0 tranches, according to Bank of America Merrill Lynch securitised products strategists.
"There was a number of CLO 2.0 double-B lists where some investors were looking to take advantage of the strength in that part of the capital structure," the analysts note. Secondary spreads were flat last week after tightening the week before to 90bp, 130bp, 185bp, 275bp and 535bp for triple-A through double-B tranches respectively.
Meanwhile, the much-anticipated US$8.5bn 256 line-item BWIC of non-agency bonds hit the US RMBS market on Thursday, as SCI reported last week (SCI 31 May). The list was sold in five groups to four banks and was the largest all-or-none BWIC to trade since the Fed's Maiden Lane sales last year.
The list consisted of subprime, Alt-A and prime RMBS issued up to 2007. At 103, the highest price talk in SCI's PriceABS data from the session was for WFMBS 2004-Z 2A2, with talk for the majority of tranches appearing to be in the 80s and 90s.
Away from RMBS, Barclays Capital analysts note that US CMBS spreads widened sharply last week, with the AJ/mezz space down by four points. "Credit spreads have been hurt by the sell-off in the 10-year rate, which appears to be driven by fears of a less accommodative Fed rather than an improvement in the economic outlook," they observe.
Vintage dupers widened by about 5bp and AMs gapped by 15bp-20bp. In the new issue space, 3.0 triple-Bs were trading at 325bp over swaps as of Thursday's close, which was about 10bp off the levels of the week before.
European CMBS once again quietened down last week, as SCI reported on Thursday (SCI 30 May). While higher-yielding seniors and second- and third-pays were once again in demand, one trader reports that it is still difficult to get traction for deeper mezzanine bonds.
"Generally on BWICs they have been trading low or not trading at all, whereas by contrast the senior-end paper has been trading higher than expected," he says. Potential negative headlines affecting TMAN 6 spooked investors (SCI 17 May), but yieldier names - such as Infinity Soprano and TMAN 4 - have been trading up and expectations for the next multifamily deal are high.
Deal news
• UCI has launched a fixed price tender offer for 11 Spanish RMBS tranches from across the UCI 10 to UCI 17 deals. The bank is offering to purchase up to €300m of the €3.4bn currently outstanding across the bonds.
• Losses resulting from the severe tornado that struck Moore, Oklahoma on 20 May are credit negative for the US$200m Combine Re Series 2012 indemnity catastrophe bond. Because of strong subordination, relatively low preliminary loss estimates and the reinsured company's small market share in Oklahoma, the agency does not expect losses to rise to the level where the notes will experience principal write-downs, however.
• The principal balance of mortgages assigned at closing for the Bluestone 2005, Bluestone 2006 and Bluestone 2007 RMBS was overstated by the unintentional inclusion of fees and interest arrears following a clerical error. This has resulted in under-collateralisation of the notes by £208,821, £1.33m and £4.36m respectively.
• Cowen and Company has been retained as liquidation agent for Ambassador Structured Finance CDO. The collateral will be auctioned via two public sales on 4 June.
• A sixth auction is due to be conducted for Libertas Preferred I on 20 June. The securities will only be sold if the proceeds equal to the total senior redemption amount.
Regulatory update
• The Making Home Affordable Program has been extended from 31 December 2013 to 31 December 2015. The new deadline was determined in coordination with the FHFA to align with extended deadlines for the Home Affordable Refinance Program (HARP) and the Streamlined Modification Initiative for homeowners with loans owned or guaranteed by the GSEs.
• The Alternative Investment Management Association has produced a paper that highlights the key areas where deeper coordination of OTC derivatives regulation is required to achieve the G20 objective of maintaining global markets. The paper provides examples of potential regulatory conflicts or unnecessary overlap between EMIR and the CFTC's derivatives rules in a number of key areas, including clearing obligations, reporting obligations, segregation rules, collateral rules and margin requirements.
• ISDA has published the Recommendation for Financial products Markup Language (FpML) version 5.5. One area of expanded coverage relates to the European reporting requirements detailed by ESMA in its technical standards published last autumn, including coverage of listed derivatives as mandated by EMIR.
• The FHFA and Citi have reached a settlement in connection with a suit FHFA filed on 2 September 2011, alleging that the defendants misled Fannie Mae and Freddie Mac into buying US$3.5bn in RMBS. In a stipulation filed with the court, the parties stated that they "have reached a settlement disposing of all claims asserted" in the action. The terms of the settlement were not disclosed.
Deals added to the SCI database last week:
BMI CLO I; CarFinance Capital Auto Trust 2013-1; Citibank Credit Card Issuance Trust 2013-2; CNH Equipment Trust 2013-B; FCT Ginkgo Compartment Personal Loans 2013-1; Goldfish Master Issuer series 2013-2; HLSS Servicer Advance Receivables Trust Series 2013-T2; HLSS Servicer Advance Receivables Trust Series 2013-T3; Holmes Master Issuer series 2013-1; JPMCC 2013-JWRZ; Kenrick No.2; New Mexico Educational Assistance Foundation series 2013-1; Storm 2013-III; Volta Electricity Receivables Securitisation Notes; WFRBS 2013-C14; World Omni Auto Receivables Trust 2013-A
Deals added to the SCI CMBS Loan Events database last week:
BSCMS 2006-T22; COMM 2006-C7; COMM 2006-C8, CD 2007-CD4 & GECMC 2007-C1; CSFB 2001-CF2; CSFB 2005-C6; CWCI 2006-C1; DECO 6-UK2; EPC 3; EURO 24; LBCMT 2007-C3; LBUBS 2008-C1; RIVOL 2006-1; TAHIT 1; TAURS 2006-3; THEAT 2007-1; TITN 2007-CT1
Top stories to come in SCI:
Developments in Russian RMBS