A look at the major activity in structured finance over the past seven days
Pipeline
The number of deals joining the pipeline declined a little last week. However, there were still five new ABS, one ILS, one RMBS, three CMBS and three CLOs which were added and yet to price at the weekend.
The ABS were: €696m Cars Alliance Auto Loans Germany V 2013-1; US$878m Education Loan Asset Trust I Series 2013-1; €516.7m Globaldrive Auto Receivables 2013-A; US$400m Hertz Fleet Lease Funding Series 2013-3; and US$158.67m Welk Resorts 2013-A. The ILS was US$70m Residential Reinsurance Series 2013-II and the RMBS was US$330.8m VOLT 2013-NPL5.
The CMBS were US$867m CGCMT 2013-GC17, US$3.5bn Hilton USA Trust 2013-HLT and C$330.4m IMSCI Series 2013-4. Lastly, the CLOs were Cathedral Lake CLO 2013, €408m FTA PYMES Santander 6 and US$614.5m Venture XV.
Pricings
Once again it was a bumper week for issuance. There were 18 ABS prints as well as two RMBS, three CMBS and five CLOs pricing last week.
The US ABS were: US$185.87m Academic Loan Funding Trust 2013-1; US$131.46m Axis Equipment Finance Receivables 2013-1; US$247.16m California Republic Auto Receivables Trust 2013-2; US$750m Capital One Multi-asset Execution Trust 2013-3; US$446m Chrysler Capital Auto Receivables Trust 2013-B; US$825m CNH Equipment Trust 2013-D; US$750m Comet 2013-A3; US$225m Diamond Resorts Owner Trust 2013-2; US$2.75bn Penarth Master Issuer 2013-1; US$517.85m Pennsylvania Higher Education Assistance Agency Student Loan Trust 2013-3; US$1.548bn Santander Drive Auto Receivables 2013-5; US$40.5m Settlement Fee Finance 2013-1; and US$54.43m SolarCity LMC Series 2013-1.
The non-US ABS were: €575m Bilkreditt 5; €296.3m DFP Master Compartment Germany; A$493m Driver Australia One; C$1bn Master Credit Card Trust II Series 2013-4; and £363m Turbo Finance 4.
The RMBS were RUB3bn ITB 2013 and US$324.98m Sequoia Mortgage Trust 2013-12. The CMBS were US$1.1bn GSMS 2013-GCJ16, £485m Intu Metrocentre Finance and US$1.14bn JPMCC 2013-C16.
Finally, the CLOs were: US$519m Blue Hill CLO; €335m Euro Galaxy III; US$516m Jamestown CLO III; US$438.6m Shackleton 2013-IV; and US$419m Sudbury Mill CLO 2013-1.
Markets
The US CMBS market spent much of last week stuck in neutral, as SCI reported on Friday (SCI 15 November). BWIC volumes were consistently below US$200m but SCI's PriceABS data shows Thursday's session did contain a varied mix of bonds, with 2005- and 2006-vintage paper circulating alongside CMBS 3.0 names.
US ABS volumes were low at the start of the week, but picked up on Wednesday (SCI 14 November). Much of the midweek session's supply came from credit card paper, but PriceABS also listed a number of auto bonds among the other tranches available.
The US CLO market was fairly muted, with Bank of America Merrill Lynch analysts reporting weekly volume of less than US$200m. "Despite the presence of a fair amount of DNTs this week, bidding levels remained healthy. Amid the light activity, US 1.0 and 2.0 spreads stayed unchanged from last week," they comment.
Execution was good in the European RMBS market, as SCI reported (SCI 13 November). One trader notes that the UK market has rallied, while interest in Dutch paper is particularly strong. ABN Amro's recent Lunet RMBS 2013-1 issuance shows that this is true in the primary market as well as in secondary.
Deal news
• CWCapital last week released the modification template for the US$678m Skyline portfolio. The Skyline loan is placed pari passu in three deals - US$271.2m in BACM 2007-1, US$203.4m in JPMCC 2007-LDPX and US$203.4m in GECMC 2007-C1.
• ISDA's Americas Credit Derivatives Determinations Committee has resolved that a bankruptcy credit event occurred in connection with OGX Petroleo e Gas Participacoes, after the firm filed a judicial recovery request due to its challenging financial situation. An auction will be held in due course in respect of outstanding CDS transactions on the entity.
Regulatory update
• ISDA is set to release a pre-publication draft of the 2013 ISDA Credit Derivatives Definitions. This will mark the first time that the association has circulated detailed implementation language for the proposals.
• US District Court Judge Charles Breyer has issued an order in the Bank of New York Mellon v. City of Richmond, California and Mortgage Resolutions Partners LLC case. The plaintiff sought to block Richmond from using its eminent domain authority to seize and restructure underwater mortgage loans.
• Recent actions by the Dutch government will likely reduce origination of NHG-backed mortgages, chiefly through reducing the maximum guaranteed loan value, according to Fitch. The agency suggests that increasing the cost of the guarantee to borrowers would probably have less impact, although it is unclear how banks will adjust mortgage pricing to account for the risk-sharing provisions introduced for new loans.
• Fitch expects the Bureau of Consumer Financial Protection's (CFPB) Ability-to-Repay (ATR) and Qualified Mortgage (QM) Rule to have wide-reaching implications for both the primary and secondary US mortgage markets. The agency has consequently published a report outlining how the rule is expected to impact its analysis and rating approach for mortgage loans originated on or after 10 January 2014.
• The Australian Prudential Regulation Authority (APRA) plans to reform its securitisation rules by 2015. Charles Littrell, executive general manager of APRA's policy, research and statistics division, yesterday said in a speech given to the Australian Securitisation Forum that the authority intends to publish a consultation paper on APS 120 to further this goal.
• The US House of Representatives last month approved HR 992, a revision to the Dodd-Frank Act that would revert the Dodd Frank Act's 'push-out' rule by allowing banks with access to deposit insurance and discount borrowing to trade a greater variety of derivatives. The House bill amends the Dodd-Frank Act to allow those banks to trade plain vanilla derivatives, but not complex asset-based derivatives, according to SFIG.
Deals added to the SCI New Issuance database last week:
A10 Term Asset Financing 2013-2; ACRE 2013-FL1; American Express Credit Account Master Trust series 2013-2; American Express Credit Account Master Trust series 2013-3; AmeriCredit Auto Receivables Trust 2013-5; Appalachian Consumer Rate Relief Funding; Auto ABS2 FCT Compartiment 2013-A; Avery Point III CLO ; Avoca Capital CLO X; Benefit Street Partners III; BMW Vehicle Owner Trust 2013-A; CarMax Auto Owner Trust 2013-4 ; Chase Issuance Trust 2013-8; CIT Equipment Collateral 2013-VT1; Citibank Credit Card Issuance Trust 2013-A10; Citibank Credit Card Issuance Trust 2013-A11; Citigroup Mortgage Loan Trust 2013-J1; CLI Funding V series 2013-3; ConQuest series 2013-1 Trust; First Investors Auto Owner Trust 2013-3; Flatiron CLO 2013-1; FREMF 2013-KF02; Global Container Assets 2013 ; Global SC Finance II series 2013-2; Gosforth Funding 2012-2; Grosvenor Place 2013-1; GSMS 2013-GCJ16; Guanay Finance series 2013-1; Heathrow Funding; Invitation Homes 2013-SFR1; Keuka Park CLO; Liberty Series 2013-1 Auto Trust; Lunet RMBS 2013-I; Navitas Equipment Receivables Series 2013-1; Porsche Innovative Lease Owner Trust 2013-1; Residential Mortgage Securities 27; Saranac CLO I; Secucor Finance 2013-I; Sierra Timeshare 2013-3 Receivables Funding; Silver Arrow Compartment 4 ; SLM Student Loan Trust 2013-6; St Paul's CLO III; STACR 2013-DN2; Sunrise; TAL Advantage V series 2013-2; Telereal Secured Finance; Temese Funding 1; UNITE (USAF) II (tap); Volkswagen Auto Loan Enhanced Trust 2013-2; WFRBS 2013-C17
Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-2; BACM 2006-4; BACM 2007-4, BACM 2007-5, BACM 2008-1 & MLMT 2008-C1; BSCMS 2007-PW15; CD 2005-CD1; CD 2007-CD5; CD 2007-CD5 & CGCMT 2008-C7; COMM 2003-LB1; COMM 2006-8; CSFB 2004-C5; CSFB 2005-C2; CSMC 2006-C1; CSMC 2007-C3; CSMC 2007-C4; CWCI 2007-C2; CWCI 2007-C3; DECO 2006-C3; DECO 2006-E4; DECO 2007-E6; DECO 2007-E7; ECLIP 2006-3; EMC 3; EMC VI; EURO 23; EURO 25; EURO 28; FOX 1; GCCFC 2004-GG1; GCCFC 2006-GG7; GCCFC 2007-GG11; GECMC 2005-C4; GECMC 2006-C1; GSMC 2005-GG4; GSMS 2004-GG2; GSMS 2007-GG10; GSMS 2012-ALOH; GSMS 2013-GC16; INFIN SOPR; JPMCC 2004-C2; JPMCC 2005-CB13; JPMCC 2006-CB15; JPMCC 2006-CB16; JPMCC 2006-LDP7; JPMCC 2007-CB18; JPMCC 2007-LD12; JPMCC 2007-LDPX; LBFRC 2007-LLF C5; LBUBS 2001-C3; LBUBS 2005-C5; LBUBS 2005-C7; LBUBS 2006-C1; MLCFC 2007-5; MSC 2005-HQ7; MSC 2006-HQ9; MSC 2007-T25; NEMUS 2006-2; OPERA METC; TAURS 2006-1; TITN 2005-CT2; TITN 2006-2; TITN 2006-5; TITN 2007-3; TITN 2007-CT1; WBCMT 2004-C12; WBCMT 2004-C15; WBCMT 2005-C20; WBCMT 2006-C26; WBCMT 2007-C33; WFRBS 2012-C9; WINDM X; WINDM XI; WINDM XII; WINDM XIV
Top stories to come in SCI:
European CMBS resolution expectations
Emergence of single-family rental securitisations