A look at the major activity in structured finance over the past seven days
Pipeline
A limited number of deals joined the pipeline last week and of those only one remained come Friday's close. That transaction was the US$375m RBS 2013-GSP CMBS.
Pricings
As for the deals printing last week, three ABS, two ILS, six CMBS and seven CLOs priced. The ABS comprised US$447m Access to Loans for Learning Student Loan Corp 2013-I, A$948m Crusade Series 2013-1 Trust and US$151.8m SoFi Professional Loan Program 2013-A, while the ILS new issues were US$75m Queen City Re Series 2013-1 and US$400m Tradewynd Re series 2013-2.
The CMBS prints consisted of: US$1.1bn COMM 2013-CCRE13; US$297.15m CVS Series 2013 Trust; US$1.1bn JPMBB 2013-C17; US$307.8m Resource Capital Corp CRE Notes 2013; US$760m SCGT 2013-SRP1; and US$1.04bn WFRBS 2013-C18.
The CLO pricings included: US$369m Allegro CLO I; US$413m Black Diamond 2013-1; US$463m Cent CLO 20; US$458m Cerberus Onshore II; US$419m CVP Cascade CLO-1; US$442m Flagship VII; and US$650m Hempstead CLO 2013-1.
Deal news
• Citi and Santander have closed the inaugural ABS issuance from Trade MAPS, a global multi-bank asset participation programme aimed at enhancing trade banks' ability to support global trade flows and grow their trade finance portfolios. The programme is intended to address a number of challenges facing the banking industry, including capital management, liquidity, increased credit constraints and Basel 3 capital requirements.
• PineBridge Investments has closed its €335m Euro-Galaxy III CLO, which features a variable funding note (VFN) that provides enhanced flexibility and efficient cash management during the ramp-up phase. It is the first European CLO to include a VFN since the financial crisis.
• Pramerica Investment Management has closed Dryden 29 Euro CLO 2013, its second European CLO issued this year. Upsized from €300m, the €415m transaction is noteworthy because it allows for about 30% of the assets to pay a fixed rate coupon, compared to a traditional industry average of about 5%.
• A junior noteholder in five Trups CDOs is challenging in court the trustee's interpretation of the transactions' payment mechanics. The transactions involved are Tropic CDO I, Tropic CDO II, Tropic CDO III, Tropic CDO IV, Soloso CDO 2005-1 and Soloso CDO 2007-1.
• In an unusual outcome for an REO loan, the Astor Crowne Plaza asset has paid off significantly above par. The US$73.4m loan, securitised in GSMS 2005-GG4, was sold this month for US$116.6m - slightly above its most recent appraisal, as of August.
• The sponsor of and property manager for one of the loans backing the WFRBS 2013-C18 CMBS recently in the market has been indicted on federal criminal charges. The disclosure is in connection with a US$38.5m pari passu piece of the US$113.5m Sullivan Center loan.
• An auction will be conducted for Sunrise CDO I on 14 January. The collateral shall only be sold if the proceeds are greater than the auction call redemption amount.
Regulatory update
• The New York Fed is to begin tapering its asset purchases with an initial US$10bn reduction in the monthly pace, evenly split between agency MBS and Treasuries. The Fed now plans to buy US$35bn of agency MBS and US$40bn of Treasuries per month beginning in January.
• The Basel Committee has issued a second consultative paper on revisions to its securitisation framework. The Committee proposes to set a 15% risk-weight floor for all approaches, instead of the 20% floor originally proposed.
• The European Banking Authority has published final draft regulatory technical standards (RTS) on securitisation retention rules and related requirements, as well as its final draft implementing technical standards (ITS) on the convergence of supervisory practices relating to additional risk weights in the case of non-compliance with the retention rules. The EBA says it recognises that securitisation can be used as an effective credit risk transfer tool and for risk management purposes.
• EIOPA has released its technical report on standard formula design and calibration for certain long-term investments. Instead of the currently proposed uniform 7% spread risk charge for triple-A rated securitisations, EIOPA recommends decreasing the charges for less risky issues to 4.3% while increasing them for riskier ones to 12.5%.
• The European Banking Authority (EBA) has published two reports on liquidity: one concerns the impact assessment for liquidity coverage requirements and the other appropriate uniform definitions of high quality liquid assets (HQLA) and extremely HQLA on operational requirements for liquid assets. The EBA recommends that some specific categories of RMBS be considered as HQLA.
• The US Fed, FDIC and OCC have issued a FAQ document to provide guidance to banking entities regarding investments in 'covered funds' and whether Trups CDOs could be determined to be covered funds under the Volcker Rule. In particular, the document clarifies that banking entities that have holdings in Trups CDOs are not required to sell these holdings immediately under the final rules, but instead may use the conformance period to determine if they can be brought into conformance by 21 July 2015.
• Fannie Mae and Freddie Mac have released updated loan-level pricing adjustment (LLPA) matrices, effective from 1 April. After adjusting for the removal of the adverse market delivery charge (AMDC), it appears that nearly all mortgages will see their LLPAs at least offset the reduction in AMDC and a vast majority will see net increases in excess of the 25bp AMDC.
• LCM Partners has won a tender from the ECB to provide advisory services on the second phase of the ABS Loan Level Initiative, an ECB initiative that has the primary goal of restoring investor confidence in the European ABS market. LCM has been working with the central bank since 2009 and will continue to provide advisory services on this programme, extending its contract until 2017.
• Confusion over the US CFTC's Footnote 88 and the definition of a US person prompted ISDA to conduct a survey to obtain a clear picture of potential market disruption or fragmentation resulting from SEF rule implementation. The association found that total derivative trading volume measured as a percentage of notional amount decreased from 2 October, the first day of SEF trading under the new rules, particularly in credit and FX derivatives.
• The Loan Syndications and Trading Association has commissioned a study conducted by Oliver Wyman, which finds that the recently re-proposed regulations to implement risk retention requirements for ABS under Dodd-Frank will likely severely limit the availability of CLOs in the future. The study recommends that regulators proceed cautiously to implement risk retention in a way that does not disrupt the CLO market and bring undue harm to corporate borrowers that depend on CLOs for financing.
• The US District Court for the Southern District of New York has allowed the FHFA to proceed with its claims against several individual defendants in connection with RMBS purchased by Fannie Mae and Freddie Mac between 2005 and 2007. Certain individuals who signed the relevant shelf registration statements but did not sign the relevant prospectus supplements moved to dismiss the action on the grounds that they could not be held liable for misstatements in prospectus supplements that they did not sign.
• The Italian government has approved amendments to Law 130/1999 that improve the segregation of transaction funds and, in the case of a debtor default, limit potential claw-backs of prepayments. These measures are seen as credit positive for Italian securitisations and covered bond programmes because they will reduce certain risks associated with servicer and debtor defaults.
Deals added to the SCI New Issuance database last week:
Atlantes Finance No. 6; Aventura Mall Trust 2013-AVM; Bavarian Sky Korean Auto Receivables 1; BBVA RMBS 12 FTA; Bee First Finance - Compartment Edelweiss 2013-1; CGWF 2013-RKWH; Chase Issuance Trust 2013-9; Citibank Credit Card Issuance Trust 2013-A12; CPS Auto Receivables Trust 2013-D; Elenia Finance; FCT Ginkgo Compartment Sales Finance 2013-1; Hildene CLO I; KAL Japan ABS 10 Cayman; Lowland Mortgage Backed Securities 3; MCF CLO III ; Nationstar Mortgage Loan Trust 2013-A; North Westerly CLO IV 2013; SCGT Trust 2013-SRP1; STORE Master Funding series 2013-3; Trade MAPS 1 Series 2013-1; Utility Debt Securitization Authority Series 2013T
Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-1; BACM 2006-3; CD 2006-CD2; CGCMT 2004-C1; CGCMT 2012-GC8; CSFB 2002-CP3; CSMC 2007-C4; FLTST 2; FLTST 3; FOX 1; GMACC 2005-C1; GSMS 2006-GG6; GSMS 2007-EOP; JPMCC 2006-CB15; JPMCC 2006-LDP9; JPMCC 2007-C1 & JPMCC 2008-C2; JPMCC 2007-CB19; LBUBS 2005-C3; LBUBS 2006-C4; LBUBS 2006-C6; MLCFC 2006-2; MLMT 2007-C1; MSC 2006-HQ9; MSC 2007-T27; OPERA GER2; TAURS 2006-2; TMAN 7; Various; WBCMT 2006-C23; WBCMT 2007-C30 & WBCMT 2007-C31; WBCMT 2007-WHL8; WFRBS 2013-C18; WINDM XII; WINDM XIV