A look at the major activity in structured finance over the past seven days
Pipeline
The pace of deals joining and exiting the pipeline last week was brisk. After a particularly busy five days, the week ended with 12 new ABS, four new RMBS, four new CMBS and four new CLOs remaining.
Among the North American ABS to be announced last week were: US$185.87m Academic Loan Funding Trust Series 2013-1; US$446m Chrysler Capital Auto Receivables Trust 2013-B; US$203m CLI Funding V series 2013-3; US$825m CNH 2013-D; US$225m Diamond Resorts 2013-2; Master Credit Card Trust II Series 2013-4; US$517.85m Pennsylvania Higher Education Assistance Agency Student Loan Trust 2013-3; and US$1bn Santander Drive Auto Receivables Trust 2013-5.
The European ABS joining the pipeline were: Bilkreditt 5; €192.3m DFB Master Compartment Germany 2013; €2.04bn FTA PYMES Santander 7; and €686.2m Private Driver Espana 2013-1 FTA.
The RMBS consisted of: Fastnet Securities 9; US$85m Fortress Opptys Residential Transaction 2013-1; £163.75m Precise Mortgage Funding No.1; and US$324.98m Sequoia Mortgage Trust 2013-12. Meanwhile, the CMBS were: US$465m COMM 2013-FL3; US$208.7m COMM 2013-RIAL4; £485m Intu Metrocentre Finance; and US$200m TPG Opportunities Partners 2013-LTR1.
Also added to the pipeline were four CLOs: US$695.73m Babson CLO 2013-II; US$400m Blue Hill CLO; US$623.5m JFN Revolver CLO; and Shackleton 2013-IV CLO.
Pricings
A great many pricings were also observed last week. As well as 16 ABS, two RMBS, three CMBS and five CLOs printed.
The US ABS new issues were: US$632.14m American Express Credit Account Master Trust series 2013-2; US$500m American Express Credit Account Master Trust series 2013-3; US$1.08bn AmeriCredit Auto Receivables Trust 2013-5; US$380.3m Appalachian Consumer Rate Relief Funding; US$750m CIT Equipment Collateral 2013-VT1; US$250m First Investors Auto Owner Trust 2013-3; US$250m Global SC Finance II series 2013-2; US$450m LATAM 2013-1; US$203m Seacube Container 2013-3; US$995.1m SLMA 2013-6; US$268.7m TAL Advantage 2013-2; and US$1.5bn Volkswagen Auto Loan Enhanced Trust 2013-2.
The other ABS to price were A$151m Liberty Series 2013-1 Auto Trust, €741m Secucor Finance 2013-I, €1bn Silver Arrows Compartment 4 and £270m Temese Funding 1. Meanwhile, the RMBS prints consisted of A$395.2m Firstmac Series 2E-2013 and US$630m STACR 2013-DN2.
The three CMBS pricings comprised US$493.78m ACRE 2013-FL1, US$1.55bn FREMF 2013-K34 and £185m Unite (USAF) II. Finally, the CLO new issues were US$515m Avery Point CLO III, €310.75m Avoca Capital CLO X, US$413m Keuka Park CLO, US$351m Saranac CLO I and €556.5m St Paul's CLO III.
Markets
US ABS secondary spreads were mixed last week, with FFELP student loan shorter-duration triple-A spreads widening but longer-duration triple-As and subordinated subprime auto ABS both tightening. Wells Fargo ABS analysts note that student loan spreads remain substantially wider than they were a year ago and expect consumer ABS spreads to tighten through Thanksgiving, with the potential to widen afterwards.
US non-agency RMBS supply stayed reasonably elevated throughout the week, as SCI reported on 8 November. SCI's PriceABS data captured a number of Alt-A and subprime names, with many covers during Thursday's session as tranches such as NHEL 2003-4 A1, CWL 2005-1 MF2, AMSI 2006-R2 M1 and LXS 2007-15N AF2 were all out for the bid.
Secondary activity in both the US and European CLO markets slowed down last week, according to Bank of America Merrill Lynch securitised products strategists. US 1.0 spreads were unchanged from the previous week's levels and 2.0 spreads tightened by 10bp-20bp at the single-A and double-B levels, while European single-As widened about 5bp but were otherwise stable.
Deal news
• Moody's last week downgraded and withdrew its provisional ratings of four classes of notes to be issued by Temese Funding 1. The agency says these actions are driven by a correction to one key input of the rating model it used for the transaction.
• At least 28 RMBS serviced by Chase (EMC) took losses related to past forbearance modifications, according to the October remittance. The affected transactions come from the BALTA, BSABS, BSMF, GPMF, HMBT, PRIME and SAMI shelves.
• The extraordinary resolution to approve the sale of the remaining claims against LBSF and LBHI and an associated restructuring proposal was approved by all classes of Eurosail UK 2007-5NP notes on 31 October (SCI 8 October). The resolution will now be implemented by the issuer.
• Spirit has released the results of its tender offer for its class A1 and A3 bonds (SCI 22 October), with £126.2m tendered in the A1s (87% of the outstanding) and £107.8m of the A3s (92% of the outstanding). The pubco will accept 80% of those tendered for the A1s and 54% for the A3s to reach the original target acceptance ratio of 70% for the A1s and 50% for the A3s.
• Cira SCM (formerly known as Strategos Capital Management) intends to resign as collateral manager on Libertas Preferred Funding I. The firm has provided 90 days' written notice of its intention.
Regulatory update
• FINRA has filed a proposed rule change with the US SEC to amend the TRACE dissemination protocols to include additional ABS transactions and to reduce the reporting periods for such securities. The agency also proposes to re-name as 'securitised products' the broad group of securities currently defined as 'asset-backed securities' and to redefine the term asset-backed security more narrowly.
• The Boston, Chicago and Indianapolis Federal Home Loan Banks and two Cranberry Park entities have dropped their objection to the US$8.5bn Countrywide settlement (SCI passim). However, many other objectors remain.
• ING has reached an agreement with the Dutch state to unwind the Illiquid Assets Back-Up Facility (IABF), which was established in 2009 to reduce the risk and uncertainty for the bank from a portfolio of US Alt-A RMBS. The bank says that market developments now allow for the securities to be sold, with a cash profit for the Dutch state.
• The US SEC has charged RBS Securities with misleading investors in a 2007 subprime RMBS offering. RBS has agreed to settle for US$150m without admitting or denying the allegations.
• ISDA has submitted a letter to the Monetary Authority of Singapore (MAS) on behalf of 20 industry participants to drive trade reporting of OTC derivatives in Singapore ahead of the mandatory reporting timeline of 1 April 2014. The signatories to the letter are committed to begin trade reporting of OTC derivatives by 3 February 2014 for standardised interest rate and credit derivatives transactions.
Top stories to come in SCI:
European CMBS issuance trends
Emergence of single-family rental securitisations