A look at the major activity in structured finance over the past seven days
Pipeline
The number of deals joining the pipeline was fairly consistent last week. Three new ABS were announced, as well as two RMBS, one CMBS and one CLO.
The ABS were €481.2m FTA Santander Consumer Spain Auto 2013-1, US$200m NAVMT 2013-2 and €1.8bn Sunrise 09, while the RMBS were Firstmac Series 2E-2013 and NZ$67.8m Sapphire V NZ Series 2013-1 Trust. The CMBS was US$1.19bn JPMBB 2013-C15.
Pricings
Slightly fewer deals priced last week than in the one before. As well as three ABS prints and one ILS, five RMBS, four CMBS and three CLOs were issued.
The ABS pricings comprised: C$400m Eagle Credit Card Trust Series 2013-1, US$212.74m JGWPT XXX and €4bn Red & Black Consumer France 2013. The ILS new issue was €200m Calypso Capital II.
The RMBS prints consisted of: SEK2.5bn Bluestep Mortgage Securities No.2; US$675m Connecticut Avenue Securities Series 2013-C01; Genesis Trust II Series 2013-1; £395m Rochester Financing No.1; and US$500m Springleaf Mortgage Loan Trust 2013-3.
The CMBS were: €700m German Residential Funding 2013-2; US$575m JPMCC Series 2013-INN; US$675m Madison Avenue Trust 2013-650M; and US$1.3bn MSBAM 2013-C12. Finally, the CLO pricings were US$500m Ares XXVIII, US$423m Eaton Vance CLO 2013-1 and US$465m West CLO 2013-1.
Markets
Little changed in the US agency RMBS market for the week as Fed purchasing continued on course, according to Wells Fargo RMBS analysts. They note: "In a light data week, the debt limit stalemate persisted at the forefront of market headlines. Week over week, benchmark rates in the belly of the curve and longer were little changed, while very short rates showed an atypical pick-up in volatility."
US non-agency RMBS rallied following the close of the ABS East conference. Barclays Capital analysts note that cash prices were up for all sectors, with Alt-A hybrid and option ARM super seniors up by a point each.
US ABS secondary activity also picked up markedly in mid-week, as SCI reported on 10 October. BWIC volume passed US$100m for Wednesday's session, with SCI's PriceABS data listing several student loan ABS tranches that were covered successfully.
As for the US CMBS market, spreads were flat early in the week, although supply did start to rise (SCI 9 October). PriceABS displays a number of 2004-2007 names, with tranches such as CWCI 2007-C3 A4 covered at around 125.
The secondary markets in Europe were also busy. JPMorgan credit analysts note that the European RMBS and European CLO markets were particularly noteworthy.
"Once again, the periphery and other yieldier asset classes outperformed, while spreads of core jurisdictions closed the week unchanged. Irish RMBS seniors - at 15bp tighter on the week - and Spanish SME CLOs at 10bp tighter were amongst the largest movers," they observe.
Deal news
• Meetings for all Eurosail UK 2007-5NP noteholders have been scheduled for 31 October to consider an extraordinary resolution to approve the sale of the transaction's remaining claims against Lehman Brothers and an associated restructuring proposal. The restructuring proposal revises the original sale proposal, which was approved by the class A noteholder in July 2012 but never implemented.
• National Alliance Capital Markets and Waterford Capital have completed what is believed to be the first securitisation of peer-to-peer consumer loans - Eaglewood Consumer Loan Trust 2013-1 - for Eaglewood Income Fund I, a consumer credit fund managed by Eaglewood Capital Management. The transaction comprises US$40m class A notes and US$12.8m class Bs, and features a revolving period whereby collections will be reinvested in additional loans post-closing.
• NIBC Bank has restructured its project finance CLO, Adriana Infrastructure CLO 2008-I, and placed the entire £477.8m class A1 notes with Aviva Investors. The £620.6m transaction is backed by sterling-denominated loans to operational public-private partnership projects across 47 borrowers in the UK originated by NIBC.
• The UROPA Securities 2007-1 class A4B tranche has been redenominated from euro to sterling, with the underlying currency swap cancelled as a result. The outstanding balance now stands at £12.186m (as opposed to €18m previously) and the interest rate margin is 28.15bp over Libor (compared to 25bp over Euribor).
Regulatory update
• The mortgage guarantee component of the UK government's Help-To-Buy scheme should be positive for existing RMBS transactions via its short-term impact on house prices and mortgage funding conditions. An unsustainable rise in house prices and an increase in riskier lending could damage UK mortgage performance in the longer term, however.
• CREFC Europe has published its 'Due Diligence Guide on Real Estate in the UK'. The guide considers due diligence primarily in the context of a loan to be secured on UK real estate and provides an overview of the main issues that should be addressed.
• The UK FCA has censured Catalyst Investment Group for misleading investors while selling bonds between November 2009 and May 2010. Three former executives at the firm have been fined: Alison Moran, Timothy Roberts and Andrew Wilkins.
• Acting New Jersey Attorney General John Hoffman has filed a lawsuit against S&P claiming that the company misled consumers about the independence and objectivity of its ratings. The suit also charges the rating agency with using outdated analytic models in order to maximise market share and profits.
• New York Attorney General Eric Schneiderman has filed a lawsuit against Wells Fargo so that the bank can be compelled to honour its commitments under the 2012 National Mortgage Settlement. Wells Fargo is accused of multiple violations of the servicing standards outlined in the settlement.
Deals added to the SCI database last week:
Ally Master Owner Trust Series 2013-3; BlueMountain CLO 2013-3; Brass No. 3; Castilho Mortgages No. 1; CENT CLO 19; Chase Issuance Trust 2013-7; COMM 2013-CCRE11; CPS Auto Receivables Trust 2013-C; Direct Capital Funding V Series 2013-2; Dolphin Master Issuer Series 2013-2; Dryrock Issuance Trust Series 2013-1; E-CARAT 2; Emerald Aviation Finance Series 2013-1; Galaxy XVI CLO; Ivy Hill Middle Market Credit Fund VII; Kimi 2 (SCF Rahoituspalvelut 2013); Nelnet Student Loan Trust 2013-5; OHA Credit Partners IX; Saratoga Investment Corp CLO 2013-1; Series 2013-2 WST Trust; SMART ABS Series 2013-3 Trust; SMHL Series Securitisation Fund 2013-1
Deals added to the SCI CMBS Loan Events database last week:
BACM 2007-4; BACM 2007-5; JPMCC 2007-CB20; JPMCC 2007-LD12; WBCMT 2007-C33; BALL 2010-HLTN; BLONN 2006-1; BRUNT 2007-1; BSCMS 2005-T20; GSMS 2005-GG4; BSCMS 2006-PW11; CGCMT 2008-C7; CGCMT 2012-GC8; CLMT 2008-LS1; COMM 2006-C7; COMM 2010-C1; CSFB 2004-C5; CSMC 2006-C5; CSMC 2007-C4; CWCI 2006-C1; DBUBS 2011-LC2; DECO 2007-E7; ECLIP 2006-2; EPICP BARC; EPICP DRUM; EPOP ARL2; EURO 25; EURO 26; FLTST 3; GECMC 2005-C2; GECMC 2005-C4; GGLF 2006-1; GMACC 2003-C2; GECMC 2003-C2; GSMS 2006-GG6; GSMS 2007-GG10; JPMCC 2001-CIB2; JPMCC 2006-CB16; JPMCC 2006-LDP6; JPMCC 2006-LDP8; JPMCC 2006-LDP9; JPMCC 2007-FL1; JPMCC 2007-LD12; JPMCC 2010-C2; LBUBS 2001-C3; LBUBS 2004-C1; LORDS 1; MLCFC 2007-6; MLMT 2005-MCP1; MSC 2007-IQ14; OPERA GER2; TAURS 2006-2; TITN 2005-CT1; TITN 2006-3; TITN 2007-2; TMAN 6; TMAN 7; WBCMT 2004-C15; WBCMT 2005-C16; WBCMT 2006-C28; WBCMT 2006-C29; WBCMT 2007-C30; WBCMT 2007-C32; WINDM VII
Top stories to come in SCI:
Risk retention ramifications for US CLOs
Differentiating SEF services