A look at the major activity in structured finance over the past seven days
Pipeline
Five ABS were added to the pipeline last week, all of which were auto deals. Two RMBS, one CMBS and two CLOs were also announced.
The ABS pipeline entrants comprised: US$205m CPS Auto Receivables Trust 2013-C; E-CARAT 2; €500m Kimi 2013-1; SCF Rahoituspalvelut 2013; and A$430m SMART ABS Series 2013-3 Trust. The US$507.8m PMT Loan Trust 2013-J1 and A$750m Series 2013-2 WST Trust accounted for the RMBS, while the CMBS was US$1bn COMM 2013-LC13. The CLOs were US$592.2m Ableco Capital and €361.34m Chester Street.
Pricings
It was a very busy week for new issuance. Pricings comprised 13 ABS, five CMBS and seven CLOs.
The only euro-denominated deal to print last week was €720m VCL 18, which was one of three auto deals along with US$231.9m DriveTime 2013-2 and US$200m Westlake Automobile Receivables Trust 2013-1. Five of the ABS pricings were credit card deals: US$731.11m American Express Issuance Trust II Series 2013-2; US$650m Citi Credit Card Issuance Trust 2013-A7; US$600m Citi Credit Card Issuance Trust 2013-A8; US$250m Citi Credit Card Issuance Trust 2013-A9; and US$600m Golden Credit Card Trust 2013-2.
The remaining ABS new issues were: US$110.63m BXG Receivables Note Trust 2013-A; US$200m Dong Fang Container Finance 2013-1; US$446.86m GE Equipment Midticket 2013-1; US$324.98m Leaf Commercial Capital 2013-1; and US$624m SLM Private Education Loan Trust 2013-C.
As for CMBS, US$425m Boca Hotel Portfolio Trust Series 2013-BOCA, US$1.115bn CGCMT 2013-GC15, C$400m SCG 2013-CWP Hotel Issuer, US$185.5m VFC 2013-1 and US$1bn WFRBS 2013-C16 printed. Finally, US$514.4m Apidos CLO XV, €336m Carlyle Global Market Strategies Euro CLO 2013-2, US$318m Kingsland VI, US$520m Northwoods Capital X, US$514m OCP CLO 2013-4, US$833m Symphony CLO XII and US$409m WhiteHorse VII accounted for the CLO issuance.
Markets
The US non-agency RMBS secondary market saw volumes of US$8bn last week, with BWICs accounting for US$3bn, according to analysts at Wells Fargo. "Prices continue to be relatively stable through the Fed announcement Wednesday [SCI 19 September]. New issuance has been slow, with only three deals coming to market in August, and a second deal in September, so far," they add.
US CLO BWIC volumes stood at around US$200m for the week, after sellers unwound positions the week before and decided to stay on the sidelines for the Fed's taper announcement. Bank of America Merrill Lynch strategists report that CLO 1.0 deals comprised the majority of BWIC volumes until a number of 2.0 deals came to market on Friday.
They comment: "Triple-A 1.0 tranches accounted for around 40% of this week's volumes. Amid relatively light secondary activity, 1.0 spreads remained unchanged from last week."
Meanwhile, US CMBS rallied after the announcement that tapering would not start just yet, with generic 2007 dupers ending the week 5bp tighter at swaps plus 115bp. Barclays Capital CMBS analysts note that super senior spreads on new issue collateral also tightened and 10-year dupers were being quoted at plus 99bp at Thursday's close, 6bp tighter than the previous week.
European CMBS activity was also lifted in the wake of the tapering announcement, as SCI reported on Friday (20 September). One trader reported that desks had been caught off-guard by the Fed's decision.
"I do not think desks were expecting it and we saw plenty of BWICs coming out," he says. "The BWICs traded very strongly. We have been seeing more selling than buying, but the market is still trading up."
Finally, the European ABS market witnessed a number of UK whole business securitisation bonds out for the bid to start the week, as SCI reported on 17 September. Credit tenant-linked CMBS tranches were also out in Monday's session. SCI's PriceABS data recorded covers ranging from 113 to 280 for the names.
Deal news
• The fortunes of the Co-operative Bank's outstanding Leek and Silk Road deals are more closely tied to the originator's financial health than most UK RMBS, due to noteholder put options inserted after the lender failed to call the transactions (SCI 14 April 2011). Investors are concerned that the bank may not be able to fund the note redemptions, given the need to raise £1.5bn of additional capital (SCI 18 June).
• Spanish bad bank SAREB last month completed its first sale of an REO portfolio, dubbed project Bull. The transaction was structured as a Fondo de Activos Bancarios (FAB), a new vehicle that is a hybrid between asset securitisation funds and collective investment vehicles.
• September remittances indicate that the US$656m Innkeepers portfolio - securitised in LBUBS 2007-C6 and LBUBS 2007-C7 - has paid down. The move was widely expected, given that the asset has been open for prepayment since its December 2011 modification and owner Cerberus was shopping for a new loan in June (see SCI's CMBS loan events database).
• Access Group's series 2004-2 FFELP securitisation class A2 notes are not expected to pay down in full by their final maturity date of 25 January 2016, a failure that will constitute an EOD. The remaining class A3 through A5 notes should pay down before their final maturity dates, while the class A2s should pay down in about 20 months after their final maturity date.
• An auction is slated for RFC CDO I on 30 September. The collateral will only be sold if the proceeds are greater than the redemption amount.
Regulatory update
• The Fed's meeting this week was widely expected to herald the dawn of tapering, but rising interest rates have forced a delay. The announcement that QE will continue for the foreseeable future provided a boost for US RMBS.
• The Dutch government is set to purchase - via the National Mortgage Institute (NHI) - up to €50bn of RMBS backed by NHG mortgages from banks over the next five years (SCI 4 April). The NHI will issue bonds guaranteed by the government to finance these purchases.
• ESMA has updated its EMIR implementation timetable. The key change relates to the registration of the first trade repositories (TRs), which was not expected to occur until 24 September.
• The Mexican Congress is expected to pass a new fiscal reform bill that could take effect next year. The bill aims to increase tax revenues for the federal government, but is credit negative for outstanding Mexican RMBS because it would lead to higher delinquencies and higher losses.
• Regulators in the US and UK have fined JPMorgan for failings related to its chief investment office (CIO) (SCI passim). Collectively, it will pay the US SEC, Federal Reserve, OCC and the UK FCA approximately US$920m.
• The Kansas District Court last week allowed the NCUA to proceed with its claims against a number of financial institutions in connection with the sale of RMBS to credit unions. The NCUA alleges that the originators of the loans underlying the RMBS systematically abandoned the stated underwriting guidelines, resulting in securities that were riskier than defendants disclosed.
• The US Court of Appeals for the Third Circuit has affirmed a district court decision dismissing as time-barred a securities class action against UBS in connection with a pension fund's losses from RMBS. Plaintiffs alleged that UBS - which securitised mortgages obtained from loan originators Countrywide and IndyMac Bank - misrepresented in the RMBS offering documents the quality of the underwriting standards used to issue the loans.
Deals added to the SCI database last week:
Acis CLO 2013-2; Avis Budget Series 2013-2; Citibank Credit Card Issuance Trust 2013-A6; Dryden 30 Senior Loan Fund ; Exeter Automobile Receivables Trust 2013-2; FCT Ginkgo Compartment Consumer Loans 2013-1; Ford Credit Floorplan Master Owner Trust A series 2013-5; Garrison Funding 2013-2 ; HLSS Servicer Advance Receivables Trust 2013-T6; Hyundai Auto Receivables Trust 2013-C; Impala Trust No. 1 - Sub Series 2013-1 ABS; M&T Bank Auto Receivables Trust 2013-1; Neuberger Berman CLO XV ; Paragon Mortgages 18; SLM Student Loan Trust 2013-5; STORM 2013-IV; Textainer Marine Containers III series 2013-1; Toyota Auto Receivables 2013-B Owner Trust; World Omni Auto Lease Securitization Trust 2013-A
Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-5; BACM 2006-1; BACM 2006-4; BLONN 2006-1; BSCMS 2006-PW12; BSCMS 2007-PW18; BSCMS 2007-T26; CD 2005-CD1; CGBAM 2013-BREH; CGCMT 2006-C4; CGCMT 2007-C6; CMLT 2008-LS1; COMM 2003-LB1A; COMM 2006-C8; COMM 2007-C9; COMM 2013-THL; CSMC 2006-C4; CSMC 2006-C5; CSMC 2007-C1; CSMC 2007-TF2A; DECO 2007-E5; ECLIP 2006-3; Extended Stay America Trust 2013-ESH; GCCFC 2006-GG7; GCCFC 2007-GG9; GSMS 2004-GG2; GSMS 2005-GG4; GSMS 2006-GG8; GSMS 2011-GC5; JPMCC 2006-LDP8; JPMCC 2006-LDP9; JPMCC 2007-CB19; JPMCC 2007-LD12; JPMCC 2007-LDP11; JPMCC 2011-FL1; JPMCC 2012-CBX; JPMCC 2012-FL2; LBUBS 2004-C1; LBUBS 2004-C2; MSC 2004-HQ3; MSC 2004-T13; MSC 2004-T15; BSCMS 2004-PWR4; LBUBS 2006-C3; LBUBS 2006-C4; LBUBS 2007-C1; LBUBS 2007-C6; LBUBS 2007-C7; LBUBS 2008-C1; MESDG CHAR; MLCFC 2006-3; MLCFC 2007-8; MLMT 2004-BPC1; MLMT 2006-C1; MSC 2006-T23; MSC 2011-C2; MSC 2011-C3; TAURS 2006-2; TITN 2006-3; TITN 2007-2; TMAN 5; WBCMT 2005-C22; WBCMT 2007-C30; WBCMT 2007-C31; WFRBS 2011-C3; WINDM X; WINDM XIV
Top stories to come in SCI:
US CMBS modification trends
Australian RMBS issuance activity