A look at the major activity in structured finance over the past seven days
Pipeline
A further 15 deals were added to the pipeline last week, with all asset classes represented. As well as four new ABS and one ILS, three RMBS, five CMBS and three CLOs were announced.
The ABS joining the pipeline comprised: CNH Capital Canada Receivables Trust 2013-2; C$264.551m Glacier Credit Card Trust series 2013-1; ¥40bn KAL Japan ABS 10 Cayman; and US$1.041bn Trade Maps 1 Series 2013-1. The ILS was US$100m Tradewynd Re series 2013-2 and the RMBS were US$290.91m CSMC Trust 2013-IVR5, €1.3bn IM BCG RMBS 2 FTA and A$153.4m Sapphire XII Series 2013-1.
The CMBS additions consisted of: US$1.53bn FREMF 2013-K35; €360m Gallerie 2013; US$1bn MSBAM 2013-C13; US$190m STORE Capital 2013-3; and US$726.6m WFRBS 2013-UBS1. Meanwhile, US$425m Atlas Senior Loan Fund IV, US$390.5m Figueroa CLO 2013-2 and €414m Richmond Park CLO were announced.
Pricings
Slightly fewer ABS printed last week than the week before, but more CLO issuance was seen. In total 15 ABS, one ILS, four RMBS, three CMBS and 10 CLOs priced during the week.
The US ABS new issues comprised: US$1bn AFIN 2013-4; US$1bn Capital Auto Receivables Asset Trust 2013-4; US$878m Education Loan Asset-Backed Trust I 2013-1; US$1.47bn Ford Credit Auto Owner Trust 2013-D; US$500m Hertz Fleet Lease Funding Series 2013-3; US$300m HLSS Servicer Advance Receivables 2013-T7; US$384m Kentucky Higher Education Student Loan Corp series 2013-2; US$1.308m Mercedes-Benz Auto Lease Trust 2013-B; and US$158.67m Welk Resorts 2013-A.
The remaining ABS pricings consisted of: £2.78bn Driver UK Master Compartment 2; €543m Globaldrive Auto Receivables 2013-A; £1.4bn Gracechurch Card Programme Funding Series 2013-1; £1.4bn Gracechurch Card Programme Funding Series 2013-2; £1.4bn Gracechurch Card Programme Funding Series 2013-3; and €560m Master Credit Cards PASS Compartment France.
The ILS print was US$70m Residential Reinsurance Series 2013-II and the RMBS prints were €1.02bn Fastnet Securities 9, US$85m Fortress Opptys Residential Transaction 2013-1; £170m Precise Mortgage Funding No.1; and US$330.8m VOLT 2013-1-NPL5. The CMBS new issues consisted of US$465m COMM 2013-FL3, US$156.55m COMM 2013-RIAL4 and US$3.5bn Hilton USA Trust Series 2013-HLT.
Finally, the CLO prints comprised: US$609m ALM VIII; US$411.4m AMMC CLO XIII; US$698m Babson CLO 2013-II; €414.75m Dryden XXIX Euro CLO 2013; €645m Foncaixa PYMES 4 FTA; €408m FTA PYMES Santander 6; €2.04bn FTA PYMES Santander 7; US$435m Gallatin CLO VI 2013-2; US$416m OZLM Funding 2013-5; and US$614.5m Venture XV.
Markets
The European CMBS market has been busy with BWICs, as SCI reported on 22 November. The bid-lists have traded well, with one trader commenting that "execution has been so strong that it is almost like a food fight a lot of the time because dealers are snapping up bonds very quickly". While there are many positive signs, the trader notes that activity is still heavily dealer-led, although clients may yet return to the sector before year-end.
The focus in the European ABS and RMBS markets was on Spain, according to analysts at JPMorgan. "Spain was the stand-out performer for another week, with the entire stack in both RMBS and SME ABS deals moving tighter. The Spanish-Italian senior RMBS basis (10bp) is now at its narrowest since September 2007. Elsewhere, Granite saw a notable improvement in mezz prices (plus one point)."
Sub tranches were out in force in the US CLO secondary market mid-week, as SCI reported on 21 November. SCI's PriceABS data captured several covers, including the BATLN 2012-2A SUB tranche (which was covered at 71 handle) and the GALXY 2006-7A SUB (which was covered at 45.54).
Auto paper helped US ABS BWIC volumes reach close to US$150m on Tuesday (SCI 20 November). PriceABS also revealed credit card, equipment, student loan and container bonds out for the bid during the session.
The week started with agency paper dominating the US RMBS market, although PriceABS still recorded a number of non-agency tranches. Several tranches were recorded as DNTs, such as BAFC 2009-R6 3A1 and CWALT 2005-46CB A14.
US CMBS spreads have underperformed broader equity and credit markets over the past month but held steady last week, according to CMBS analysts at Barclays Capital. Despite a sharp sell-off in Treasuries, the CMBS market was fairly unaffected by speculation that the Fed may slow the pace of purchases, with 2007 dupers remaining unchanged at swaps plus 112bp.
The analysts add: "There was little spread movement lower in the capital stack as well, with 2007 AMs stable at swaps plus 200bp and prices on 2007 AJs staying flat. In new issue CMBS 3.0, last cashflow spreads stayed at swaps plus 95bp. 3.0 triple-B minus classes compressed 5bp, to swaps plus 385bp."
Deal news
• The arrival of Invitation Homes 2013-SFR1 - the first-ever single-family rental (SFR) securitisation (SCI 1 November) - has finally provided the spark for the long-mooted REO-to-rental asset class in the US. Further issuances are expected, although the sector's success in the long-term will depend on several factors, not least changing home prices.
• Fitch and S&P have upgraded the Mortgage Funding 2008-1 class A1 notes and assigned ratings to additional classes of A2, A3 and B1 notes. The move reflects the further restructuring of the non-conforming RMBS on 19 November, following the first phase of restructuring on 23 August.
• Goldman Sachs is in the market with Gallerie 2013, a €363m Italian CMBS. The transaction securitises a loan granted to real estate fund Krypton, to enable it to acquire 13 shopping centres and one retail park located across Italy.
• Enterprise Inns disclosed in its full-year 2013 results that it placed a £97m convertible bond, the proceeds of which were used to cancel £70m of its forward start bank facility. The issuance has been welcomed for creating subordination for the pubco's securitisation.
• Morningstar says it is not currently projecting a loss on the US$220m Lincoln Square A-note, following the CMBS loan's transfer to special servicing (see SCI's loan events database). However, the B-note debt may complicate the ultimate resolution of the loan.
• Jefferies has been appointed liquidation agent for Caja San Fernando CDO I. The collateral - comprising European and US CLOs, CDOs and repacks - will be auctioned on 5 December. The sale will be conducted via two BWIC lists: one focused on European bonds and the second on US dollar-denominated bonds.
• Swiss Re Portfolio Advisors Corporation has assigned its rights and obligations as manager to Ghisallo to BlueMountain Capital Management (BMCM). Under the terms of the assignment, BMCM agrees to assume all the duties and obligations of the collateral manager.
Regulatory update
• JPMorgan has agreed to a settlement of US$13bn with the US Department of Justice to resolve federal and state civil claims arising from RMBS issued by JPMorgan, Bear Stearns and Washington Mutual prior to 1 January 2009. It is the largest settlement with a single entity in American history. The bank has also agreed to make a payment of US$4.5bn to the 330 non-agency RMBS trusts issued by JPMorgan, Bear Stearns and Chase to settle mortgage repurchase and servicing claims (SCI 18 November).
• The route has been cleared for Mel Watt to be confirmed as the next FHFA director after the US Senate approved rules to allow nominees to be confirmed with a simple majority vote. After receiving 56 votes on his first nomination attempt (SCI 1 November), Watt should have sufficient support this time around, although he might not be confirmed until after the Thanksgiving recess.
• The city of Irvington, New Jersey, is set to perform a legal study of eminent domain as a way of buying mortgages that currently are in foreclosure. The New Jersey chapter of the American Civil Liberties Union is said to support the Irvington plan, as the city has been hard-hit by foreclosures.
• The Australian Prudential Regulation Authority's recent update of its proposed revision of the Prudential Standard APS 120 includes provision for master trust issuance (SCI 12 November), which should enable take-up of this structure in the country. But APRA's conditions may prevent Australian master trusts using credit-positive structural features prevalent in other jurisdictions.
• The CFTC has released guidance that undermines a legal interpretation that dealers relied on related to Footnote 513 of the Commission's July 'Interpretive Guidance and Policy Statement Regarding Compliance with Certain Swap Regulations'. Footnote 513 had previously been interpreted as a way of keeping swap transactions off SEFs (SCI 31 October), with several banks reportedly asking their swaps brokers to set up trades in the US while booking them in affiliates overseas.
• The CFTC has finalised rules to establish additional standards for systemically important derivatives clearing organisations (SIDCOs). The rules, together with the existing derivatives clearing organisations rules, establish Commission regulations that are consistent with the Principles for Financial Market Infrastructures (PFMIs) and would allow SIDCOs to continue to be qualifying central counterparties for purposes of international bank capital standards.
• ESMA has issued final draft regulatory technical standards (RTS) related to derivative transactions undertaken by non-EU counterparties under EMIR. EMIR provisions regarding central clearing and risk mitigation techniques also apply to those OTC derivatives entered into by two non-EU counterparties that have a direct, substantial and foreseeable impact on EU financial markets.
Deals added to the SCI New Issuance database last week:
Academic Loan Funding Trust 2013-1; Axis Equipment Finance Receivables II series 2013-1; Bilkreditt 5; Blue Hill CLO; California Republic Auto Receivables Trust 2013-2; Capital One Multi-asset Execution Trust 2013-3; CNH Equipment Trust 2013-D; COMM 2013-FL3; Diamond Resorts Owner Trust 2013-2; Driver Australia One Trust; Euro-Galaxy III CLO; FirstMac Mortgage Funding Trust series 2E-2013; FREMF 2013-K34; Intu Metrocentre Finance; Jamestown CLO III; JPMCC 2013-C16; Penarth Master Issuer 2013-1; Pennsylvania Higher Education Assistance Agency Student Loan Trust 2013-3; Santander Drive Auto Receivables Trust 2013-5; Sequoia Mortgage Trust 2013-12; Settlement Fee Finance 2013-1; Shackleton 2013-IV CLO; SolarCity LMC Series I 2013-1; Sudbury Mill CLO; Turbo Finance 4
Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-3; BSCMS 2006-T22; COMM 2005-LP5; CSMC 2007-C5; ECLIP 2006-2; ECLIP 2007-2; EMC 3; EMC VI; EURO 28; FOX 1; GCCFC 2004-FL2A; GCCFC 2006-GG7; GRGER 2007-1; GSMS 2010-C1; JPMCC 2004-C1; JPMCC 2005-LDP1; JPMCC 2006-CB14; LBUBS 2004-C4; LBUBS 2005-C3, 2005-C5 & 2005-C7; LBUBS 2006-C1; LBUBS 2007-C6; MESDG CHAR; MLCFC 2006-3; MLCFC 2007-5; MLMT 2007-C1; MSC 2007-IQ13; OPERA METC; RIVOL 2006-1; TAURS 2006-3; TITN 2007-1; TITN 2007-2; TITN 2007-3; TMAN 6; TMAN 7; WBCMT 2007-C32; WINDM X
Top stories to come in SCI:
European CMBS resolution expectations
Developments in solar ABS