A look at the major activity in structured finance over the past seven days
Pipeline
There was no slowing down in activity last week as another 13 deals joined the pipeline. They consisted of four ABS, two CMBS, six RMBS and a CLO.
The newly-announced ABS were: US$201m ACER 2014-1; US$500m Chesapeake Funding 2014-1; US$104.4m HERO Funding Series 2014-1; and US$640m PHEAA Student Loan Trust 2014-1. The CMBS were US$290m China Real Estate Asset Mortgages and US$460.2m GP Portfolio Trust 2014-GPP.
The RMBS joining the pipeline comprised: Cartesian Residential Mortgages 1; RUB3.432bn Mortgage Agent MTSB; RUB3.868bn Mortgage Agent Petrocommerce-1; £350m Paragon Mortgages 19; US$435.3m VOLT 2014-NPL1; and US$427.3m VOLT 2014-NPL2. As for the CLO, that was US$478m TICP CLO I.
Pricings
Of the CLOs that joined the pipeline last week, seven went on to price. In addition, eight ABS printed, as well as one ILS, one RMBS and one CMBS.
The ABS new issues were: US$1.26bn Ally Auto Receivables Trust 2014-SN1; US$1.5bn CCCIT 2014-A2; Y25.2bn Driver Japan Three; US$650m Dryrock 2014-1; £475m E-Carat 3; US$676m SLM 2014-A; US$500m USAA Auto Owner Trust 2014-1; and US$678m Volvo Financial Equipment 2014-1.
The ILS print was US$245m Kizuna Re II and the RMBS was A$500m TORRENS Series 2014-1 Trust. The CMBS was a £110m second tap issuance of Trafford Centre Finance.
Finally, the CLO pricings comprised: €375m Carlyle Global Market Strategies Euro CLO 2014-1; US$453m Golub Capital Partners CLO 18; €425m Harvest CLO VIII; US$669.75m Limerock CLO II; US$492m Regatta III Funding; US$409m Tuolumne Grove CLO 2014-1; and US$311m Zais CLO 1.
Markets
US non-agency RMBS secondary market activity has slowed over the last few weeks and BWIC supply came in at about US$1.7bn for the last week of February. Wells Fargo RMBS analysts add: "On the new issuance front, Redwood Trust in its quarterly letter to shareholders announced it expected to complete another deal either in late 1Q14 or early 2Q14."
Generic US CMBS spreads began last week as they had ended the one before, as SCI reported on 25 February. BWIC volume for the first session of the week was around US$270m, with SCI's PriceABS data revealing a few 2013-vintage tranches out for the bid.
The US CLO market saw BWIC volumes of around US$400m, with spreads finishing the week unchanged, according to Bank of America Merrill Lynch structured products strategists. Last week was also a busy one for the European CLO market, with Wednesday's session heralding the arrival of what is believed to be the first European CLO 2.0 single-B BWIC (SCI 27 February). The bid-list included covers for tranches such as DRYD 2013-29A F and GROSV 2013-1A E.
Meanwhile, the European ABS and RMBS secondary markets tightened as primary issuance remained limited. "The continued grind tighter across most credit asset classes contributed to a further tightening of spreads across the ABS spectrum. Senior Spanish RMBS spreads at 205bp have now reached levels not seen since 1Q08. However, trading flows outside of BWICs remain on the light side," note JPMorgan securitisation analysts.
Deal news
• STACR 2013-DN1 failed its current subordinate percentage test this month and, as a result, the entire prepayment amount was directed away from the M1 tranche to the A tranche. A credit event resulted in a US$14,800 write-down of the B tranche that was enough to push the subordinate percentage to 2.99995% from 3%.
• Markit has issued a correction in connection with a loss recoupment on the CWCI 2006-C1 D tranche that wasn't reflected in January's CMBX.A.3 index settlements (SCI 23 January). A US$7,400 correction payment will now be made on US$1m original face trades.
• RBS is in the market with the inaugural transaction from Venn Partners' new Dutch RMBS platform (SCI 24 February). Dubbed Cartesian Residential Mortgages 1, the €481.3m deal is backed by prime mortgages originated by GE Artesia Bank via three SPVs - Quion 10, Ember Hypotheken 1 and Ember Hypotheken 2.
• Bemo Securitisation has closed DHC Healthcare Fund, the first revolving trade receivables securitisation in the Lebanese healthcare sector. The transaction is backed by a US$14m diversified portfolio of trade receivables provided by Dima Healthcare to its hospital, pharmacy and clinic clients.
Regulatory update
• FINRA is postponing the inclusion of CDOs, CBOs, CLOs and non-agency CMBS from its proposal to expand TRACE's coverage of securitised products (SCI 5 November 2013). The move comes after SIFMA submitted a comment letter on the proposal to the SEC (SCI 9 January).
• The US SEC has reopened for comment its proposals for ABS shelf-eligibility under Regulation AB 2. Specifically, the Commission is seeking comments on an approach for the dissemination of potentially sensitive asset-level data to address privacy issues.
• Judge Scarpulla of the New York State Court has ruled that the judgement entered by Judge Kapnick on 31 January in the US$8.5bn Countrywide RMBS settlement case will not be further delayed. AIG and other objectors had asked for the entry of the judgement to be stayed, alleging that various issues remained unclear (SCI 12 February).
• The decision by the European Parliament's Economic and Monetary Affairs Committee to postpone agreement on draft rules to regulate money market funds (MMFs) last week leaves the scope of possible investment restrictions on ABCP unclear. These restrictions may prompt significant asset reallocation for some MMFs, depending on the scope of the regulation.
• The US House Committee on Financial Services held a hearing last week on the impact of the Dodd-Frank Act on ABS. Witnesses included representatives from the LSTA, Georgetown University Law Center, Center for Capital Markets Competitiveness, CRE Finance Council and SFIG.
• The FHFA has reached a settlement with Societe Generale and related companies for US$122m. The settlement resolves claims alleging violations of federal and state securities laws in connection with private-label mortgage-backed securities purchased by Fannie Mae and Freddie Mac in 2006.
• Morgan Stanley has disclosed in a regulatory filing that it has reached an agreement in principle with the US SEC to resolve "an investigation related to certain subprime RMBS transactions sponsored and underwritten by the company in 2007". Pursuant to the agreement in principle, the bank would be charged with violating Sections 17(a)(2) and 17(a)(3) of the Securities Act, according to a Lowenstein Sandler memo.
Deals added to the SCI New Issuance database last week:
Anchorage Capital CLO 3; COA Summit CLO; CSMC Trust 2014-SURF; Dodeka I; GreatAmerica Leasing Receivables Funding Series 2014-1; Honda Auto Receivables 2014-1 Owner Trust; JFIN CLO 2014-1; JP Morgan Mortgage Trust 2014-1; JPMBB 2014-C18; Notting Hill Housing Trust; Omamori; Queen Street IX Re; Reni SPV; STORM 2014-I; TAL Advantage V series 2014-1; VCL Master Residual Value Compartment I; Venture XVI CLO
Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-2; BSCMS 2003-T10; BSCMS 2006-PW12; BSCMS 2006-PW13; CGCMT 2005-C3; COMM 2005-C6; COMM 2006-C7; CSFB 2005-C2; CSFB 2005-C6; CSMC 2007-C2; CSMC 2007-C5; CWCI 2006-C1; CWCI 2007-C2; DECO 7-E2; DECO 9-E3; ECLIP 2007-2; EMC IV; EURO 28; FOX 1; GCCFC 2003-C2; GCCFC 2004-GG1; GCCFC 2007-GG11; GECMC 2004-C3; GMACC 2006-C1; GSMS 2004-GG2; JPMCC 2004-LN2; JPMCC 2005-CB12; JPMCC 2005-LDP4; JPMCC 2005-LDP5; JPMCC 2007-LD12; LBUBS 2003-C3; LBUBS 2007-C1; LBUBS 2007-C6; MLCFC 2006-2; MLCFC 2007-5; MLCFC 2007-6; TAURS 2006-3; TITN 2007-3; TITN 2007-CT1; TMAN 6; TMAN 7; WBCMT 2003-C7 & WBCMT 2003-C8; WBCMT 2004-C11; WBCMT 2004-C14; WBCMT 2005-C17; WBCMT 2005-C22; WBCMT 2006-C25; WBCMT 2007-C30; WBCMT 2007-C34
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