A look at the major activity in structured finance over the past seven days
Pipeline
CLOs led the way last week, both in terms of new additions to the pipeline and deal prints. Six new CLOs were announced, as well as one ABS, one ILS, one RMBS and two CMBS.
The CLOs comprised: €310m Ares European CLO VI; US$350m NewStar CLF 2013-1; €306.2m Pinewood CLO 2013-1; US$352.75m Saranac CLO I; St Paul's CLO II; and US$362.7m Telos CLO 2013-4. The ABS was €400m Retail Automotive CP Germany 2013 and the ILS was US$125m Mona Lisa Re series 2013-2. The RMBS was Albion No.2, while the CMBS were US$1.3bn COMM 2013-CCRE9 and US961.2m JPMCC 2013-C13.
Pricings
The majority of new issuance was also made up of CLOs. In total, six CLOs priced, as did four ABS, three ILS, one RMBS and one CMBS.
The CLOs were: £660m Alchera 2013; US$413m Ares XXVII CLO; US$300m Gallatin CLO V 2013-1; US$465.5m Halcyon Loan Advisors 2013-2; US$418m LCM XIV Partnership; and US$511m OHA Loan Funding 2013-1. The ABS pricings consisted of: AA Bond Co; €714m Driver Eleven; US$460m Ford Floorplan Auto Securitization Trust Series 2013-F1; and US$304.72m Massachusetts Educational Financing Authority series 2013.
The ILS prints comprised: US$130m Ibis Re II 2013-1; US$75m Mythen Re series 2013-1; and US$75m Tramline Re II Series 2013-1. The RMBS was £200.2m Alba 2013-1, while the CMBS was US$1.5bn MSBAM 2013-C10.
Markets
Student loan paper dominated the US ABS secondary market at the end of the week, as SCI reported on 28 June. Total BWIC volume for Thursday's session was just under US$100m, with aircraft ABS accounting for a slice of that.
SCI's PriceABS data shows the SLMA 2013-R1 A tranche was talked in the low-200s on Thursday. There were also several 2012-vintage student loan tranches out for the bid, while in the aircraft space tranches such as AERLS 2007-1A G3 (talked and covered in the mid-90s) were available.
US RMBS non-agency BWIC supply was US$2bn for the week and trade volume was US$5.5bn, according to Wells Fargo RMBS analysts. "Liquidity seems to be improving, spurred by lessened fears of Fed tapering. Unlike last month, June remit reports did not bring any surprises in the form of forbearance/forgiveness updates," they comment.
Spreads also stabilised in the second half of the week in the US CMBS market. Barclays Capital CMBS analysts report that real money investors are beginning to re-approach some sub-sectors.
"Overall, 2006-07 vintage dupers and AMs finished the week at roughly the same levels as last Thursday's close. AJ/mezz tranches from those vintages, already down anywhere from 10 to 25 points from their local peak, tightened marginally - up a point from last week," they observe.
Meanwhile, many US CLO tranches failed to trade during Wednesday's session, as SCI reported on Thursday (SCI 27 June). There were three times as many DNTs as trades captured in the PriceABS archive.
The DNTs included names from a range of vintages, with tranches from 2005 up to 2008 and from 2011 right up to 2013. They also ran the length of the capital structure, from senior to subordinate bonds. Among the DNT tranches were BABSN 2005-2A SUB, RMPRT 2006-1A PS, GALE 2007-3A A1, ABERD 2008-1A B, ALM 2011-4A C, CIFC 2012-1A A1F and OZLMF 2013-3A A1.
Finally, Spanish ABS and RMBS paper appeared to be popular in the European secondary market, as SCI reported on 26 June. Among the many Spanish bonds out for the bid were SANFI 2006-1 D and BBVAC 2006-2 B, talked in the 50s and 90s respectively.
Deal news
• The Opera Finance (CMH) extraordinary resolutions, in connection with the Kennedy Wilson/Värde restructuring proposal, did not pass on 26 June (see SCI's CMBS loan events database). Revised proposals are now anticipated from both the preferred bidder (KW/Värde) and the junior lender (Northwood).
• Assured Guaranty and Flagstar Bank have entered into a settlement agreement concerning Assured Guaranty's litigation against the bank for breaches of reps and warranties. The settlement follows a New York District Court ruling earlier this year in Assured Guaranty's favour (SCI 12 February).
• The third auction of the year for Bristol CDO I is scheduled for 11 July. The auction call redemption amount was not met in the previous sales, which took place on 25 March and 11 January. An auction has also been scheduled for Buckingham CDO on 19 July.
Regulatory update
• The Basel Committee has published revised Basel 3 leverage ratio framework and disclosure requirements for consultation. The leverage ratio is designed to serve as a backstop to the risk-based capital measures by constraining the build-up of leverage in the banking system and providing an extra layer of protection against model risk and measurement error.
• More securitisation transactions are expected to launch in China, following new regulations promulgated under the specific asset management plan (SAMP) and the credit asset securitisation pilot scheme (CAS). However, challenges remain in data robustness, legal enforceability and transaction structure.
• The EIB and the European Commission have released a joint report detailing how the €10bn capital increase decided by Member States last year has been implemented. Entitled 'Increasing lending to the economy: implementing the EIB capital increase', the report also outlines new joint initiatives that aim to revive the structured credit markets to support SME lending.
• ISDA has published additional provisions relating to credit derivative transactions with a restricted delivery party where physical settlement applies. The additional provisions are for use where the settlement method is physical settlement and either party to the credit derivative transaction is restricted from holding a loan or there is a limit on the outstanding principal balance of a bond which it may hold.
• The Mortgage Bankers Association (MBA) has released a concept paper outlining steps to ensure mortgage lenders have the confidence to lend to the full range of qualified borrowers. Aligning the GSEs' underwriting standards and creating clear standards for representations and warranties is essential for a smooth transition to a sustainable secondary market operating with an explicit, limited government guarantee, the association says.
Deals added to the SCI database last week:
Alliance Laundry Equipment Receivables Trust 2013-A; BlueMountain CLO 2013-2 ; Capital Auto Receivables Asset Trust 2013-2; COMM 2013-THL; DECO 2013-CSPK; Flexi ABS Trust 2013-1; FREMF 2013-K28; FTA Santander Hipotecario 9; Hyundai Auto Receivables Trust 2013-B; Liberty Series 2013-1 SME; Nations Equipment Finance Funding I series 2013-1; Nelnet Student Loan Trust 2013-4; Private Driver 2013-2; PSPIB-RE Summit TD Canada Trust Tower; SLM Student Loan EDC Repackaging Trust 2013-M1; South Texas Higher Education Authority series 2013-1; TORRENS Series 2013-2 Trust RMBS; TruckLease Compartment No. 3
Deals added to the SCI CMBS Loan Events database last week:
CD 2005-CD1; CSFB 2004-C2; CWCI 2007-3; CWCI 2007-C2; DECO 2005-C1; ECLIP 2006-2; ECLIP 2006-3; ECLIP 2007-2; GCCFC 2006-GG7; GECMC 2006-C1; JPMCC 2004-C3; JPMCC 2005-CB13; JPMCC 2005-LDP5; JPMCC 2006-CIBC14; JPMCC 2011-FL1; LBUBS 2005-C5; LBUBS 2005-C7; LBUBS 2007-C2; MLCFC 2006-3; MSC 2004-IQ8; MSC 2007-T27; OPERA CMH; RIVOL 2006-1; TAURS 2006-2; TITN 2006-3; TITN 2007-1; TITN 2007-2; TITN 2007-CT1; TMAN 7; WBCMT 2004-C14; WBCMT 2006-C25; WBCMT 2006-C26; WINDM XIV
Top stories to come in SCI:
The future of the GSEs