A look at the major activity in structured finance over the past seven days
Pipeline
Last week was slightly quieter in terms of new deals joining the pipeline. Six new ABS deals were announced, as well as one RMBS and one CLO.
The ABS consisted of: Driver UK Master Compartment 2; US$280m Global Container Assets 2013; US$450m LATAM 2013-1; US$300m Sierra Timeshare 2013-3 Receivables Funding; €740m Silver Arrows Compartment 4; and £265m Temese Funding 1. The RMBS was RUB3bn ITB 2013, while the CLO was US$515m Benefit Street Partners CLO III.
Pricings
A plethora of deals priced last week, with a typically long list of ABS prints joined by seven CLOs. One RMBS and one CMBS were also among the week's issuance.
The US ABS prints comprised: US$759.48m Ally Auto Receivables Trust 2013-2; US$197.8m Credit Acceptance Auto Loan Trust 2013-2; US$850m Discover Card Master Trust 2013-A5; US$550m Discover Card Master Trust 2013-A6; US$1.007bn Ford Credit Auto Lease Trust 2013-B; US$721.5m GEEMT 2013-2; US$1.5bn Honda Auto Receivables Owner Trust 2013-4; US$685m Nissan Auto Lease Trust 2013-B; US$132.8m Silverleaf Finance VII series 2013-A; and US$744.29m World Omni Auto Receivables Owner Trust 2013-B.
The European ABS new issues consisted of: €280m abc SME Lease Germany Compartment 1 and €1bn SC Germany Vehicles 2013-1. The RMBS was A$300m AFG 2013-2, while the CMBS was US$1.2bn COMM 2013-CCRE12.
Finally, the CLO pricings were: US$523m CIFC Funding 2013-IV; €304.8m Credico Finance 14; US$439m Crown Point CLO II; US$412m Fortress Credit BSL 2013-2; US$556m Golub Capital Partners CLO 17; US$415m KVK CLO 2013-2; and US$447m Wind River 2013-2.
Markets
Moderate supply was observed in the US ABS secondary market last week, as SCI reported on SCI 25 October. BWIC volume reached US$180m on Thursday's session, with SCI's PriceABS data capturing price talk and covers on a variety of credit card, student loan, aircraft and auto ABS names out for the bid.
Meanwhile, the US non-agency RMBS market rallied as broader risk assets set highs. "As equity indices set successive highs, cash prices in the non-agency space were up for all sectors. Option ARM and jumbo FRM SSNRs were up half a point each, while jumbo hybrid, alt-A FRM and Alt-A Hybrids rose one point," comment Barclays Capital RMBS analysts.
US CMBS BWIC volumes almost doubled to US$2bn for the week. Deutsche Bank analysts note that much of that supply came from more than US$400m of A1As from Freddie Mac on Wednesday. More than US$1bn of multifamily-directed bonds came from Fannie Mae towards the end of the week.
The US CLO secondary market remained quiet, however, with BWIC volumes picking up towards the end of the week. "Line items were evenly split between CLO 1.0 and 2.0 tranches. About one-third of [last] week's line items came from the 2007 vintage, for which about 44% of the broadly syndicated deals have exited reinvestment and the remaining 56% are expected to all have exited reinvestment by the end of January 2015," note Bank of America Merrill Lynch securitised products strategists.
The European CLO market started the week strongly, as SCI reported on 22 October. A large US credit hedge fund bid-list hit the market, with several successful covers observed for what were mainly mezzanine tranches.
Deal news
• Shellpoint Partners has scrapped its planned Shellpoint Asset Funding Trust 2013-2 RMBS in favour of selling the underlying whole loans. The move comes after the transaction was revised during the marketing process.
• Losses on even the most recent Freddie Mac K-series CMBS notes are expected to be low, despite signs of weakening underwriting quality. There are also signs that issuance for the sector may have peaked in 2Q13, with higher rates and the FHFA mandate to reduce originations expected to drive volumes lower over the coming months.
• Spirit has made an offer to tender and swap its existing A1 and A3 bonds into newly-issued A6 and A7 bonds. The tender and swap offer is for up to 50% of the A1 bonds and 70% of the A3s, with the remainder left outstanding and amortising in line with the existing schedule.
• Eurosail UK 2007-5NP has received US$5.42m from Lehman Brothers Special Financing Inc and US$5.84m from Lehman Brothers Holdings Inc in respect of the issuer's class 4A and 9A claim. The amounts represent 3.18% and 3.43% respectively of the transaction's US$170m stipulated claim for failure of the hedging contracts.
• The US SEC has charged Harding Advisory and its owner Wing Chau for misleading investors in a CDO and breaching their fiduciary duties. The SEC alleges Chau and Harding compromised their independent judgement as collateral manager on Octans I CDO in order to accommodate trades requested by a third-party hedge fund - Magnetar Capital - whose interests were not necessarily aligned with the debt investors.
• An auction for the Trainer Wortham First Republic CBO III transaction is scheduled for 14 November. The collateral shall only be sold if the proceeds, together with the balance of all eligible investments and cash in the accounts, are greater than or equal to the auction call redemption amount.
Regulatory update
• The Federal Reserve has proposed a rule that would for the first time in the US create a standardised minimum liquidity requirement for large and internationally active banking organisations and systemically important non-bank financial companies. The proposal presents two key issues for the securitisation market: the Level 2 treatment of GSE securities and the assumed 100% draw-down of commitments to SPVs.
• Trustees for investors including BlackRock, PIMCO and DoubleLine Capital are appealing US District Judge Charles Breyer's dismissal of the Richmond eminent domain case (SCI 24 September). They have asked a federal appeals court in San Francisco to review the ruling.
• Further details have emerged about Pomona, California's eminent domain proposal. The plan is the same as the one put forward by Mortgage Resolution Partners in other cities, with one exception: it will now allow short sales with a sale and lease-back option for homeowners after their mortgage has been taken from the private label RMBS trusts.
• The US District Court for the Southern District of New York last week denied a motion by several banks to compel the FHFA to produce approximately 22,000 documents related to the agency's lawsuits against the banks. The move was in connection with the FHFA's actions against 17 financial institutions involved in the packaging, marketing and sale of RMBS purchased by Fannie Mae and Freddie Mac between 2005 and 2007 (SCI passim).
• Chinese ABS activity appears to be back on track, after the country's regulatory authorities re-committed themselves in August to its credit asset securitisation (CAS) pilot programme. It is estimated that the move could result in as many as 20 participating institutions collectively issuing up to US$49bn in securities during the first half of 2014.
• Mexico's Lower House of Congress has passed the fiscal reform bill proposed by President Enrique Peña Nieto last month (SCI 16 September). The Senate is likely to expedite approval of the bill, which would take effect next year.
• CLO risk retention rules enacted in Europe and proposed in the US could increase balance sheet leverage for asset managers that need to obtain financing to comply with the regulation. For those managers without the financial resources or market access to comply, this could result in their exit from the CLO market or push them to seek an acquisition by a larger manager.
Deals added to the SCI New Issuance database last week:
Ableco Capital; Bluestep Mortgage Securities No. 2; CarFinance Capital Auto Trust 2013-2; Chrysler Capital Auto Receivables Trust 2013-A; Dolphin Master Issuer series 2013-2; Eaton Vance CLO 2013-1; First National Master Note Trust series 2013-2; Flagship Credit Auto Trust 2013-2; FTA Santander Consumer Spain Auto 2013-1; Navistar Financial Dealer Note Master Owner Trust II series 2013-2; Pepper Residential Securities Trust No. 11; Prima Capital CRE Securitization 2013-III; Red & Black Auto Germany 2; Red & Black Consumer France 2013; Rochester Financing No. 1; Springleaf Mortgage Loan Trust 2013-3
Deals added to the SCI CMBS Loan Events database last week:
BACM 2004-2; BSCMS 2007-BBA8; BSCMS 2007-T26; COMM 2003-LB1A; CSFB 2005-C1; CSMC 2006-C4; CSMC 2006-C5; CSMC 2007-C1; CSMC 2007-C3; CSMC 2007-C4; CWCI 2007-C2; DECO 2005-C1; DECO 2006-C3; DECO 2006-E4; DECO 2007-E7; DECO 7-E2; ECLIP 2006-3; ECLIP 2007-1; EMC 3; EMC VI; FLTST 3; FOX 1; GCCFC 2005-GG5; GCCFC 2006-GG7; JPMBB 2013-C14; JPMCC 2004-LN2; JPMCC 2005-LDP2; JPMCC 2005-LDP5; JPMCC 2006-LDP9; JPMCC 2007-C1; JPMCC 2007-LD12; LBUBS 2003-C8; LBUBS 2004-C1; LBUBS 2005-C5; LBUBS 2006-C7; MLCFC 2007-8; MSC 2005-HQ7; MSC 2007-HQ11; MSC 2007-T27; MSC 2007-XL9; OPERA GER2; PROUL 1; REC 6; SOVC 2007-1; TITN 2006-3; TITN 2006-CT1; TITN 2007-2; TITN 2007-3; TITN 2007-CT1; TMAN 5; TMAN 6; WBCMT 2005-C20; WBCMT 2007-C30; WBCMT 2007-C33; WINDM VIII; WINDM X; WINDM XI
Top stories to come in SCI
Risk retention ramifications for US CLOs
Focus on Singapore
Relative value in RRBs