A look at the major activity in structured finance over the past seven days
Pipeline
Over twice as many deals joined the pipeline last week as had done in the week before, although the pace remains slower than it was pre-Thanksgiving. In total, five new ABS, one ILS, two RMBS, five CMBS and two CLOs were announced.
The ABS new entrants comprised: US$447m Access to Loans for Learning Student Loan Corp 2013-I, US$183m CPS Auto Receivables Trust 2013-D, US$151.8m SoFi Professional Loan Program 2013-A and US$2.1bn Utility Debt Securitization Authority Series 2013T and Series 2013TE. The ILS was US$100m Loma Reinsurance Series 2013-1, while the RMBS were €4.35bn BBVA RMBS 12 and US$154.33m Nationstar Mortgage Loan Trust 2013-A.
The CMBS consisted of US$1.2bn Aventura Mall Trust 2013-AVM, US$295m CGWF Commercial Mortgage Trust 2013-RKWH, US$136.95m Resource Capital Corp CRE Notes 2013, US$760m SCGT 2013-SRP1 and US$230.09m Selkirk No.1 2013-1. Meanwhile, the CLOs were €360m Jubilee CLO 2013-XI and US$187.5m Hildene CLO I.
Pricings
It was a slightly quieter week for completed issuance. Last week saw three ABS, three CMBS and three CLOs price.
The ABS new issues were €247.9m Atlantes Finance 6, €230m Bee First Finance Compartment Edelweiss 2013-1 and US$800m Nissan Auto Receivables 2013-C Owner Trust. The RMBS print was A$347m RESIMAC Bastille Trust 2013-1NC.
As for CMBS, pricings consisted of C$330.4m IMSCI Series 2013-4, US$190m STORE Capital 2013-3 and US$450m VNDO 2013-PENN. Finally, US$411m BlueMountain CLO 2013-4, US$363m Cathedral Lake CLO 2013 and €616m Richmond Park CLO were issued.
Markets
European CMBS secondary trading has slowed down as year-end approaches, according to analysts at Bank of America Merrill Lynch. The limited BWIC supply probably represents a degree of profit-taking and action by bad banks to meet year-end targets, they suggest.
The analysts add: "Most notes were from first- or second-pay tranches and were well bid at prices in the 90s. In general, we continue to see demand for investment grade rated front-pay notes and some mezzanine tranches. However, we saw some softening in senior and second-pay notes, with prices above 95 in some highly liquid, benchmark transactions that are widely owned by dealers."
Meanwhile, the European ABS and RMBS secondary markets continued to witness strong BWIC supply, as SCI reported on 6 December. Several bid-lists circulated during the week and more are expected to kick this week off.
"Dealers are both selling and buying, as they look to build inventory for the end of the year. Dealers have generally had a good year, so they will not want to blow that, but they are already looking ahead and positioning for January," notes one trader.
Secondary CLO activity picked up in both Europe and the US, reaching just over US$500m in the US. US CLO spreads ended the week unchanged and Bank of America Merrill Lynch analysts note there is a 80-line list due out today totalling over US$800m in original value.
US non-agency RMBS was one of the first markets to recover from its turkey hangover. SCI's PriceABS data captured US$225m in BWIC volume for the first session of the week (SCI 3 December), including a variety of Countrywide tranches.
Finally, US CMBS spreads widened marginally over the week as secondary volumes continued to decline, note Barclays Capital CMBS analysts. "TRACE data showed that about US$6bn of CMBS bonds changed hands this week, below the US$7bn average over the past six months," they say.
Deal news
• The removal of loans from two recent US CMBS could be an early warning sign of risk for bondholders. Recently a US$47.5m loan backed by Midwestern shopping centres was removed from GSMS 2013-GCJ16 after the deal priced. Additionally, the ninth largest loan in a mixed-use pool in Chicago was removed from MSBAM 2013-C13 just two days after its launch (SCI 26 November).
• Moody's has downgraded the global scale ratings of the senior FCC BIAT-CREDIMMO 1 and FCC BIAT-CREDIMMO 2 notes, as well as the global and national scale ratings of the junior FCC BIAT-CREDIMMO 2 notes. The agency has also affirmed the national scale ratings of the senior notes in both transactions and the global and national scale ratings of the junior notes in FCC BIAT-CREDIMMO 1.
• Fitch has downgraded the single-C rated B1c, C1c and D1c classes of Eurosail-UK 2007-5NP to D, following the restructuring of the transaction (SCI passim). In addition, it has placed the double-C rated A1a and A1c classes on rating watch positive.
Regulatory update
• ISDA, SIFMA, the Financial Markets Association and the Institute of International Bankers are suing the CFTC for defects in its cross-border rule. They allege that the CFTC failed to follow complete rulemaking procedures and their suit also challenges aspects of other CFTC Dodd-Frank swap rules and seeks broad relief, including that the cross-border guidance be vacated.
• Freddie Mac has entered into a settlement agreement with Bank of America concerning the GSE's claims related to representations and warranties on single-family loans it was sold. Under the terms of the agreement, Bank of America agreed to pay Freddie Mac a total of US$404m, less credits of US$13m for repurchases already made and for reconciling adjustments.
Deals added to the SCI New Issuance database last week:
1st Financial Credit Card Master Note Trust III series 2013-II; AA Bond Co (tap); BAMLL 2013-DSNY; China Dragon Trust series 2013-1R; China Funding Investment 2013-1; COMM 2013-RIAL4; CSMC Trust 2013-IVR5; Eagle Credit Card Trust series 2013-1; Fan Engine Securitization series 2013-1; Foncaixa PYMES 4 FTA ; Ford Auto Securitization Trust series 2013-R4; FREMF 2013-K35; Genesis Trust II series 2013-1; Glacier Credit Card Trust series 2013-1; Grain Spectrum Funding 2013-1; Hollis Receivables Term Trust II series 2013-1; Institutional Mortgage Securities Canada Inc series 2013-4; Kentucky Higher Education Student Loan Corp series 2013-2; Residential Reinsurance 2013-II; Sapphire V NZ series 2013-1 Trust; Securitisation of Catalogue Assets (UK)
Deals added to the SCI CMBS Loan Events database last week:
BACM 2006-3; BACM 2007-2; DECO 2007-E7; DECO 9-E3; EMC IV; EURO 25; EURO 28; FOX 1; GECMC 2003-C2 & GMACC 2003-C2; GRGER 2007-1; GSMS 2006-GG6; GSMS 2007-EOP; TITN 2006-3; TITN 2007-2; TITN 2007-CT1; WBCMT 2006-C28 & CWCI 2006-C1
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