A look at the major activity in structured finance over the past seven days
Pipeline
After a busy couple of weeks, the pace of deals joining the pipeline increased even further last week. Eight new ABS, one ILS, five RMBS, one CMBS and three new CLOs were announced.
The ABS were: US$731.4m AmeriCredit Automobile Receivables Trust 2014-1; US$774.18m Chrysler Capital Auto Receivables Trust 2014-A; US$180m CPS Auto Receivables Trust 2014-A; US$672m Hyundai Auto Lease Securitization Trust 2014-A; €600m SC Germany Auto 2014-1; US$300m Sierra Timeshare 2014-1; US$669.45m SLM 2003-12 A6, which was remarketing; and US$1.25bn Toyota Auto Receivables 2014-A Owner Trust.
The ILS was US$300m Merna Re V. As for the RMBS, they consisted of: Lanark Master Issuer Series 2014-1; US$508.6m New Residential Advance Receivables Trust Series 2014-T1; US$511.6m New Residential Advance Receivables Trust Series 2014-T2; US$41.5m New Residential Advance Receivables Trust Series 2014-VF1; and €275m Saecure 14.
The newly-announced CMBS was WFRBS 2014-C19. Finally, the US$363.75m Cedar Funding III, Ocean Trails V and US$600m OZLM VI CLOs joined the pipeline.
Pricings
It was also a very busy week for deals departing the pipeline. Last week saw eight ABS prints, with two ILS, three RMBS, four CMBS and seven CLOs also pricing.
The ABS prints were: US$140.43m ACER 2014-1; US$800m Chesapeake Funding 2014-1; US$850m Citibank Credit Card Issuance Trust 2014-3; US$850m Discover Card Execution Note Trust 2014-2; US$103.8m HERO Funding Series 2014-1; US$509m Nelnet Student Loan Trust 2014-2; US$573m PHEAA Student Loan Trust 2014-1; and A$629.52m SMART ABS Series 2014-1US Trust.
The ILS pricings were US$270m East Lane Re IV Series 2014-1 and US$125m Gator Re series 2014-1, while the RMBS were A$400m HBS Trust 2014-1, £361m Paragon Mortgages 19 and A$1bn Progress 2014-1 Trust. The CMBS new issues comprised: US$1.016bn CGCMT 2014-GC19; US$1.2bn COMM 2014-UBS2; US$460.2m GP Portfolio Trust 2014-GPP; and US$306.3m GSMS 2014-NEW.
Finally, the CLO prints consisted of: US$514.4m Ares XXIX; US$417m Battalion V; US$614m GoldenTree VIII; US$584m KVK 2014-1; US$580m Mountain Hawk III; US$420m OCP 2014-5; and €435m St Paul's IV.
Markets
BWIC volumes last week climbed in the European RMBS secondary market to return to average levels, while steady demand resulted in strong execution, according to securitisation analysts at Bank of America Merrill Lynch. They note: "The bulk of activity in the periphery was in Portuguese RMBS and Spanish mezz, including programmes with lower-quality collateral pools. Periphery and non-prime continue to outperform core/prime markets; thus, the credit compression theme is still here."
It was a quiet week for the European CMBS market, however, as SCI reported on 7 March. One trader reports that clients appear to be waiting for spreads to widen, although US accounts could spark some activity.
"There is a lot of interest in European CMBS from investors in the US. They are generally happier than European accounts to take a bit more risk in return for a bit more yield," the trader says.
US non-agency RMBS bid-list volumes picked up considerably to reach almost US$850m on Wednesday (SCI 6 March). SCI's PriceABS data captured a mix of covers and DNTs, with activity up across fixed rate, hybrid and subprime bonds.
Activity in the US CMBS market was largely steady, with US$233m seen on Tuesday's BWICs (SCI 5 March). A considerable chunk of that supply was accounted for by the US$116.358m MLCFC 2007-7 AJ bond, which PriceABS shows was talked in the mid/high-40s during Tuesday's session.
In the US ABS space, secondary spreads were largely unchanged, Wells Fargo structured product analysts observe. "A modest amount of ABS new issue volume seemed to generally support current spread levels," they add.
Deal news
• Vivarte's decision to suspend payments on its debt (SCI 18 February) has served as a wake-up call regarding tail risk in European CLO portfolios. While further spread tightening is anticipated across the 2.0 capital structure (notwithstanding current macro concerns), investors are likely to be more selective in 1.0 paper, given emerging idiosyncratic risks.
• The noteholder dispute over Mount Street's replacement of Capita as the special servicer for Titan Europe 2007-1 (NHP) (see SCI's CMBS loan events database) is diverting attention away from the more pressing issue that capital expenditure is not adding significant value. Selling the portfolio now rather than waiting for valuations to increase appears to make more sense.
• Dynasty Property Investment is prepping its second cross-border CMBS. Dubbed China Real Estate Asset Mortgages, the US$290m transaction is backed by nine retail properties in nine cities across China.
• Five Granite Master Issuer Series 2006-3 tranches have been downgraded, following a correction to an input used in the rating process. The affected ratings had either been affirmed or upgraded on 18 February.
• Cowen and Company has been appointed as liquidation agent for Blue Edge ABS CDO, the collateral of which will be disposed of via a public auction. The collateral will be split into five separate portfolios for sale: Alt-A RMBS, mixed RMBS, ABS CDO assets, CRE CDO assets and zero-factor assets.
• An auction is slated for Kleros Preferred Funding on 24 March. A separate auction has been scheduled for Trainer Wortham First Republic CBO V on 21 March.
Regulatory update
• The Basel Committee has published the results of its latest Basel 3 monitoring exercise. A total of 227 banks participated in the study, comprising 102 large internationally active banks (Group 1 banks) and 125 Group 2 banks.
• The EBA has published a report on the leverage ratio that provides a policy analysis and a quantitative assessment of the impact that would derive from aligning the current Capital Requirements Regulation (CRR) definitions of the leverage ratio's exposure measure to the revised Basel 3 standard published by the Basel Committee on 12 January. The report uses data collected for the Basel 3 monitoring exercise as of 30 June 2013 through a sample consisting of 173 EU institutions from 18 member states.
• A trial court's decision to dismiss Assured Guaranty Municipal Corp's claims for rescessory and consequential damages in an action against Credit Suisse regarding US$1.8bn in RMBS has been reversed. New York's Appellate Division, First Department has also reinstated claims for damages.
Deals added to the SCI New Issuance database last week:
Alba 5; Ally Auto Receivables Trust 2014-SN1; Ascentium Equipment Receivables 2014-1; Barclays Dryrock Issuance Trust series 2014-1; Carlyle Global Market Strategies Euro CLO 2014-1; CGCMT 2014-GC19; Citibank Credit Card Issuance Trust 2014-A2; COMM 2014-UBS2; CSMC Trust 2014-SAF1; E-Carat 3; Golub Capital Partners CLO 18; Harvest CLO VIII; Limerock CLO II; Race Point V CLO; Regatta III Funding; SLM Private Education Loan Trust 2014-A; TORRENS Series 2014-1 Trust; Trafford Centre Finance; Tuolumne Grove CLO 2014-1; USAA Auto Owner Trust 2014-1; Volvo Financial Equipment Series 2014-1; Zais CLO 1.
Deals added to the SCI CMBS Loan Events database last week:
COMM 2013-CCRE10; DECO 2006-E4; DECO 9-E3; EMC VI; EPICP DRUM; EURO 25; EURO 27; FLORE 2012-1; GCCFC 2007-GG9; GMACC 2004-C3; GMACC 2006-C1; GSMS 2007-GG10; GSMS 2012-GCJ7; INFIN SOPR; LBUBS 2005-C2; LBUBS 2006-C3; MLCFC 2007-5; TITN 2006-3; TITN 2007-2; TITN 2007-CT1; TMAN 4; WINDM VIII; WINDM X.
Top stories to come in SCI:
Developments in Chinese ABS