A look at the major activity in structured finance over the past seven days
Pipeline
A variety of deals remained in the pipeline at the end of last week. These included two ABS, one RMBS, one CMBS and four CLOs.
The ABS comprised US$755.5m CNH Equipment 2013-C (an equipment deal originated by CNH Capital America) and US$800m Santander Drive Auto Receivables Trust 2013-A (an auto deal from Santander Consumer USA). The RMBS was US$434.17m Agate Bay Mortgage Trust 2013-1.
Deutsche Bank's US$485m COMM 2013-300P was the CMBS entrant, while the CLOs consisted of US$400m Battalion CLO IV, US$400m Galaxy XVI, US$190m GT Loan Financing I and US$500m Madison Park Funding XI.
Pricings
A further two ABS deals printed last week, along with one RMBS, four CMBS and three CLOs.
The ABS pricings were both auto deals - US$1bn Capital Auto Receivables Asset Trust 2013-3 and US$1.25bn Fifth Third Auto Trust 2013-1 - while the RMBS was A$3.2bn Medallion Trust Series 2013-2. The CMBS new issues were: US$325m BBCMS 2013-TYSN; US$1.57bn FREMF 2013-K31; US$1.2bn GSMS 2013-GCJ14; and US$1.79bn JPMBB 2013-C14.
Finally, US$400m NewStar Commercial Loan Funding 2013-1, US$531m Northstar 2013-1 and US$367m Vibrant CLO II rounded out the primary issuance.
Markets
US CMBS BWIC volume increased last week as investors looked to capitalise on the present liquidity in the market, with over US$600m of supply in mezzanine bonds alone. SCI's PriceABS data reveals a number of successful trades, as SCI reported on 15 August.
Wednesday's session typified many of the week's themes, with AM tranches such as GSMS 2007-GG10 AM and JPMCC 2007-LD11 AM both trading. The session also saw senior 2.0 bonds circulating: PriceABS recorded a cover for GSMS 2012-TMSQ A as well as DNTs for bonds such as JPMCC 2012-WLDN A.
Significant supply was also seen in the US RMBS secondary market. Tuesday's session saw US$1.2bn of non-agency bid-list volume, boosted by a CDO liquidation and large legacy list, as SCI reported on 14 August. Over three-quarters of the legacy list's 20 bonds traded.
It was a quieter week for US CLOs, with total BWIC volume coming in below US$200m, according to Bank of America Merrill Lynch analysts. Unlike the previous week, equity paper accounted for only a small proportion of line items.
"Secondary trading will likely remain slow during the final stretch of summer, but volatility risk remains elevated as we head into September when the FOMC may announce when, what and how much to taper. Until a clearer picture develops, we maintain the view that legacy mezzanine discount tranches provide the best opportunities," the analysts note.
The European CMBS market has also been quiet, although German multifamily paper has been more active than other sectors, according to one trader (SCI 16 August). He reports that there has been good buying and selling not only for senior paper, but also for mezzanine bonds in that part of the market.
Meanwhile, European RMBS interest has been focused on Spain, where senior bonds are the preference. Activity has been more limited than for CMBS, although PriceABS does show a cover in the 70 area for the GCPAS 5 A2 tranche, which out for the bid on Thursday.
Deal news
• Kane has launched an independent private catastrophe bond platform called Kane SAC Limited. The inaugural issuance under the programme - the US$9.52m series 1-2013 notes - has been listed on the Bermuda Stock Exchange (BSX), marking the first-ever listing on the stock exchange of a series of notes issued by a segregated accounts company.
• ATLANTICLUX Lebensversicherung has established a US$100m insurance-linked Sukuk programme dubbed Salam III. Proceeds will be used to finance upfront acquisition costs of new business.
• Markit iTraxx Series 20 is set to begin trading on 20 September. Based on current data and Series 19 inclusion rules, six constituent changes are expected in iTraxx Main and three in iTraxx Crossover. No changes are anticipated for the iTraxx Financials index.
Regulatory update
• The Australian Prudential Regulation Authority has provided further details on its approach to the implementation of the Basel 3 liquidity framework and, in particular, on the operation of the committed liquidity facility (CLF). Due to the relatively short supply of Australian dollar high-quality liquid assets (HQLA), the Reserve Bank of Australia (RBA) will allow 'scenario analysis' ADIs to establish a secured CLF sufficient to cover any shortfall between the ADI's holdings of HQLA and the requirement to hold such assets under the LCR.
• The CFTC has issued a final rule to exempt swaps entered into by qualified cooperatives from the clearing requirement, subject to certain conditions. It has also released final rules to implement enhanced risk management standards for systemically important derivatives clearing organisations (SIDCOs), as well as proposed rules to establish additional SIDCO standards.
• Further details have emerged about the legal challenges brought by investors against Richmond, California's eminent domain plan (SCI 8 August). Three trustees - Wells Fargo, Deutsche Bank and Bank of New York Mellon - have filed two separate lawsuits in the US District Court of Northern California to block the city from seizing mortgages under the plan.
• The US SEC is believed to have opened an investigation into the consistency of S&P's CMBS rating methodology. The move is said to be related to when the agency pulled assigned ratings on the US$1.5bn GSMST 2011-GC4 transaction just over two years ago, prompting Goldman Sachs and Citi to abandon their deal after it was placed with investors (SCI 28 July 2011).
• Criminal complaints against Javier Martin-Artajo and Julien Grout for their alleged participation in a conspiracy to hide the true extent of credit derivatives losses at JPMorgan have been unsealed by US Attorney General Eric Holder, Attorney for the Southern District of New York Preet Bharara and George Venizelos of the FBI. The US SEC has announced separate civil charges.
• President Obama has signed into law the Bipartisan Student Loan Certainty Act of 2013, which pegs the interest rate on new federal student loans to a market rate fixed at loan origination. The new loan rates are expected to have mixed effects on private student loan securitisations because the new rates will be credit positive for undergraduates, but credit negative for graduate students.
• The Joint Forum has released a consultative report on the longevity risk transfer (LRT) markets. The paper aims to assist in setting appropriate policies and to help ensure effective supervision of related activities and risk.
• CPSS and IOSCO have published a report entitled 'Authorities' access to trade repository data'. The report aims 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 Primary Issuance database last week:
ALM VII(R); ALM VII(R)-2; AmeriCredit Automobile Receivables Trust 2013-4; Cabela's Credit Card Master Note Trust series 2013-II; Citibank Credit Card Issuance Trust 2013-A5; CNH Wholesale Master Note Trust Series 2013-2; Enterprise Fleet Financing series 2013-2; Harvest CLO VII; Hayfin Ruby II Luxembourg SCA; Herbert Park CLO; Highbridge Loan Management 2013-2; Hyundai Auto Lease Securitization Trust 2013-B; JPMBB 2013-C14; MMAF Equipment Finance 2013-A; Octagon Investment Partners XVII; Palmer Square CLO 2013-2; Quadrivio RMBS 2013; SLM Student Loan Trust 2013-4; TACSEE Funding Co; WFRBS 2013-C15.
Deals added to the SCI CMBS Loan Events database last week:
BACM 2006-4 & WBCMT 2006-C27; BACM 2006-6; BACM 2007-1, JPMCC 2007-LDP10 & GECMC 2007-C1; BALL 2010-HLTN; BSCMS 2006-PW11; COMM 2003-LB1A; CSFB 2001-CKN5; DECO 8-C2; ECLIP 2006-2; ECLIP 2006-3; EMC VI; EURO 25; GCCFC 2005-GG5; GCCFC 2006-GG7; GCCFC 2007-GG9; GECMC 2005-C4; GMACC 2003-C2; GMACC 2006-C1; GSMS 2006-GG6; GSMS 2007-GG10; GSMS 2011-GC3; GSMS 2011-GC5; GSMS 2012-GC6; JPMCC 2007-LDPX; JPMCC 2008-C2; LBUBS 2007-C1; LORDS 2; MLMT 2005-MCP1; MLMT 2007-C1 & BSCMS 2007-PW17; NEMUS 2006-2; THEAT 2007-1 & THEAT 2007-2; TITN 2005-CT1; TITN 2007-2; WBCMT 2005-C21; WBCMT 2006-C25; WFRBS 2011-C2; WTOW 2007-1.
Top stories to come in SCI:
European ABS supply/demand dynamics
Trends in US agency RMBS