A look at the major activity in structured finance over the past seven days
Pipeline
A variety of deals were announced last week. Four ABS, two ILS, one WBS, one RMBS, one CMBS and one CLO joined the pipeline.
The ABS comprised: €742.5m Driver Eleven; Ford Floorplan Auto Securitization Trust Series 2013-F1; US$304.72m Massachusetts Educational Financing Authority series 2013; and US$638m Tobacco Settlement Financing Corp (State of Louisiana) Series 2013A.
The ILS were US$130m Ibis Re II 2013-1 and US$100m Tradewynd Re series 2013-1. The WBS was AA Bond Co.
The RMBS was £200.2m Alba 2013-1, while the CMBS was £260m Debussy DTC. Finally, the CLO was North End CLO.
Pricings
Last week once again saw a long list of prints, including six ABS, four RMBS, three CMBS and a CLO.
The ABS pricings consisted of: US$490m Capital Auto Receivables Asset Trust 2013-2; A$210m Flexi ABS Trust 2013-1; US$1.503bn Hyundai Auto Receivables Trust 2013-B; US$153m Nations Equipment Finance Funding I; US$453m Nelnet Student Loan Trust 2013-4; and €155m TruckLease Compartment No.3.
The RMBS were: €768m FTA Santander Hipotecario 9; RUB4.07bn Mortgage Agent Raiffeisen 01; US$261.81m Shellpoint Asset Funding Trust 2013-1; and A$501m TORRENS Series 2013-2 Trust RMBS.
The CMBS prints comprised: US$775m COMM 2013-THL; US$1.25bn JPMBB 2013-C21; and A$252m Liberty Series 2013-1 SME. The US$429m BlueMountain CLO 2013-2 rounded out the new issuance.
Markets
The European RMBS market, like other sectors, saw spread widening last week in the wake of Federal Reserve chairman Ben Bernanke's latest taper comments. Activity was also limited due to IMN's Global ABS conference in Brussels.
"Dutch RMBS seniors have climbed back to a DM of 90bp, while Italian RMBS is now firmly back at over 300bp. Over the past month, Granite lost 0.9/2.0/2.8/3.0 points at the triple-A, double-A, single-A and triple-B level respectively," note JPMorgan analysts.
US RMBS was also impacted by the uncertainty created by Bernanke's comments. Wells Fargo RMBS analysts note that agency coupons underperformed Treasuries, with the 2s/10s spread widening to nearly 215bp, the steepest level since summer 2011.
In the non-agency space, limited supply of US$3bn and lower dollar prices continued to encourage inquiry from investors. "Longer-duration subprime bonds, which have borne the brunt of the widening, found some support in the 7-8 year part of the curve. However, liquidity further out the curve still remains challenged and bid/ask generally continues to be wide," the analysts observe.
US CMBS secondary spreads moved substantially wider on Thursday, according to Barclays Capital CMBS analysts. Generic 2007 vintage dupers and AMs gapped out by a further 10bp-15bp over the week, while vintage AJs dropped by another two points.
The analysts note: "These sectors have now given up all their gains in 2013 are now back to levels seen in December 2012. Spreads remain under pressure in new issue land as well. The 10-year duper tranche was 10bp wider over the week, ending at swaps plus 115bp, while the triple-B minus near the bottom of the stack was being quoted at swaps plus 425bp - 50bp wider than last week's close."
Finally, the US CLO market was not immune to the macro concerns either and was also affected by volatility. BWIC levels were down to US$380m for the week, with legacy deals outperforming CLO 2.0 deals. Bank of America Merrill Lynch securitised products strategists report that CLO 1.0 spreads widened across the board to 110bp, 150bp, 225bp, 325bp and 575bp at the triple-A, double-A, single-A, triple-B and double-B levels respectively.
Deal news
• The first of ICE's planned credit index futures contracts - the Markit CDX Investment Grade When Issued Future - began trading on 17 June. The relative simplicity of the contract is expected to appeal to investors that are not set up to trade OTC credit default swaps.
• Moody's has assessed New Penn Financial as a below average originator of prime jumbo residential mortgage loans. The move came at the same time as the lender was in the market with its debut RMBS - the US$261.58m Shellpoint Asset Funding Trust 2013-1.
• The New York Supreme Court has dismissed a FHFA complaint against UBS Real Estate Securities in connection with a US$1.1bn RMBS (MARM 2006-OA1), ruling that only the securities' trustee had the power to commence the lawsuit. The FHFA filed its action in April 2012, alleging that UBS refused to buy back defective loans in the pool of 3,187 mortgages that violated the PSA's representations and warranties.
• Northwood Investors, in its capacity as junior lender to the Opera Finance (CMH) CMBS, has launched a counter bid for the portfolio. The move is in response to Kennedy Wilson/Värde Partners Europe's proposal (SCI 5 June), which appears not to have the support of a number of noteholders.
• The liquidation of a loan in CSFB 2005-C2 has resulted in the first instance of principal losses being realised on an originally triple-A rated AJ tranche in the US conduit CMBS segment. The US$136m Tri-County Mall was liquidated this month with a loss of US$124m.
• US$267m of REO properties securitised in CMBS is scheduled for sale next month via Auction.com. According to CMBS analysts at Barclays Capital, the largest loan being liquidated is backed by the final nine properties from the Lembi Portfolio securitised in WBCMT 2007-C31, with an unpaid balance of US$77m.
• The Harbour Centre office building backing a US$51m loan securitised in MSC 2006-IQ12 has been transferred to special servicing. It was previously transferred to special servicing in 2009 and received a modification which extended its IO payment period until January 2013.
Regulatory update
• The City Council of North Las Vegas has entered into an advisory agreement with Mortgage Resolution Partners, the firm advancing the use of eminent domain to seize performing mortgages for modification. SIFMA, the Association of Mortgage Investors, the Greater Las Vegas Association of Realtors and the Nevada Bankers Association have responded by issuing a statement in which they express their disappointment.
• New EU credit rating agency rules entered into force on 20 June. The aim is to increase rating agency accountability while reducing over-reliance on credit ratings, according to the European Commission.
• The German parliament last month passed an act amending the personal insolvency regime, shortening to three years from six the period after which a borrower under personal insolvency can discharge his remaining unsecured debt if he has repaid 35% of the total. The law will be effective from 1 July 2014.
• Omega Partners is suing the directors of Tetragon Financial Group (TFG) in connection with the October 2012 acquisition by TFG of Polygon Management. The shareholder derivative action was filed in the US District Court for the Southern District of New York.
• A recent Spanish Supreme Court ruling could cause lenders to stop applying floor clauses that set minimum interest rates in mortgage contracts. This would reduce excess spread in Spanish RMBS transactions.
• ESMA has published guidelines and recommendations on the scope of credit rating agency regulation. The guidelines clarify certain aspects of the regulation of registered rating agencies, market participants operating on the perimeter of this sector and national securities markets regulators.
Deals added to the SCI database last week:
AmeriCredit Automobile Receivables Trust 2013-3; Anchorage Capital CLO 2013-1; Apidos CLO XIV; Atlas Senior Loan Fund III; Auto ABS FCT Compartiment 2013-2; Avery Point II CLO; California Republic Auto Receivables Trust 2013-1; Carlyle Global Market Strategies CLO 2013-3; Carlyle Global Market Strategies Euro CLO 2013-1; Catamaran CLO 2013-1; Chesapeake Funding Series 2013-1; CLI Funding V Series 2013-2; COMM 2013-CCRE8; CPS Auto Receivables Trust 2013-B; Dryden XXVIII Senior Loan Fund; DT Auto Owner Trust 2013-1; Edsouth Indenture No. 4 Series 2013-1; EverBank Mortgage Loan Trust 2013-2; FCT Cars Alliance DFP France series 2013-1; First Investors Auto Owner Trust 2013-2; FirstEnergy Ohio PIRB Special Purpose Trust 2013; Firstmac Mortgage Funding Trust series 1E-2013; Ford Credit Floorplan Master Owner Trust A 2013-3; Ford Credit Floorplan Master Owner Trust A 2013-4; FREMF 2013-K713; German Residential Funding 2013-1; GLG Ore Hill CLO 2013-1; GoldenTree Credit Opportunities European CLO 2013-1; Icon Brand Holdings series 2013-1; JPMBB 2013-C12; Jubilee CLO X; KKR Financial CLO 2013-1; Lanark Master Issuer 2013-1; Motor 2013-1; Mountain Hawk II CLO; Nationstar Mortgage Advance Receivables Trust series 2013-T1; Nationstar Mortgage Advance Receivables Trust series 2013-T2; Nationstar Mortgage Advance Receivables Trust series 2013-T3; Oaktree Enhanced Income Funding series III; OZLM Funding IV; Pennsylvania Higher Education Assistance Agency Student Loan Trust 2013-1; PFS Financing Corp Series 2013-B; Phedina Hypotheken 2013-I; Private Driver 2013-1; Quarzo series 2013; Sequoia Mortgage Trust 2013-8; Series 2013-1 Harvey Trust; SLM Student Loan Trust 2013-3; Springleaf Funding Trust 2013-B; Swiss Auto Lease 2013-1; UNITE (USAF) II; Vermont Student Assistance Corporation Senior Series 2013A
Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-2; BACM 2005-3; BACM 2005-4; BACM 2006-1; BACM 2007-2; BACM 2007-3; CD 2005-CD1; CSFB 2005-C2; CWCI 2006-C1; DECO 2006-E4; DECO 2007-C4; ECLIP 2006-3; ECLIP 2007-2; EMC VI; EURO 23; EURO 25; EURO 28; GCCFC 2006-GG7; GCCFC 2007-GG9; GRND 1; GSMS 2006-GG6; GSMS 2006-GG8; JPMCC 2002-C2; JPMCC 2005-LD2; JPMCC 2005-LDP4; JPMCC 2006-C15; JPMCC 2007-CB18; JPMCC 2007-CB19; JPMCC 2007-LD12; LBCMT 2007-C3; LBUBS 2004-C1; LBUBS 2005-C1; LBUBS 2006-C6; LBUBS 2006-C7; LBUBS 2007-C6 & LBUBS 2007-C7; MALLF 1; MLCFC 2007-6; MLMII 2002-MW1; MLMT 2006-C2; MLMT 2007-C1; MSC 2003-IQ6; MSC 2006-HQ9; MSC 2006-IQ12; MSC 2007-IQ15; MSCI 2006-HQ8; MSCI 2006-IQ12; OPERA CMH; RIVOL 2006-1; TAHIT 1; TAURS 2006-1; THEAT 2007-1; TITN 2007-1; TITN 2007-2; TITN 2007-CT1; TMAN 6; TMAN 7; USAF 2006-1; WBCMT 2007-C30; WINDM VII; WINDM XIV
Top stories to come in SCI:
Global ABS conference write-up