A look at the major activity in structured finance over the past seven days
Pipeline
In a departure from the typical weekly pattern, additions to the pipeline last week were dominated by RMBS names. Four new RMBS were announced, as well as just one ABS, two CMBS and two CLOs.
The RMBS were: US$513m Colony American Homes 2014-1; the re-offered €550m Quadrivio RMBS 2011; US$487m Sequoia Mortgage Trust 2014-1; and ZAR1.023bn Thekwini 11 Fund Tap 2. Joining the newly-announced US$410m Hertz Fleet Lease Funding Series 2014-1 ABS were the US$1.2bn GSMS 2014-GC20 and US$1.08bn MSBAM 2014-C15 CMBS. Finally, the US$400m Canyon Capital CLO 2014-1 and US$350.375m Saranac CLO II entered the pipeline.
Pricings
It was a more familiar picture when it came to deals pricing. Last week 11 ABS printed, as well as an ILS, an RMBS, a CMBS and four CLOs.
The ABS new issues comprised: US$255m Cabela's Credit Card Master Note Trust 2014-I; US$223.37m California Republic Auto Receivables Trust 2014-1; US$229.8m CarFinance Capital Auto Trust 2014-1; US$1.39bn Ford Credit Auto Lease Trust 2014-A; £350m Gatwick Funding 2014; US$450m Golden Credit Card Trust Series 2014-1; US$550m Golden Credit Card Trust Series 2014-2; US$390m Prestige Auto Receivables Trust 2014-1; €1.35bn SC Germany Consumer 2014-1; US$992.3m SLM Student Loan Trust 2014-2; and US$559.26m Springleaf Funding Trust 2014-A.
The ILS print was US$95m Riverfront Re Series 2014-1, while the RMBS print was RUB3.868bn Mortgage Agent Petrocommerce-1. The CMBS pricing was US$381m WFCM 2014-TISH and the CLOs were US$519.25m Apidos CLO XVII, US$728m Avery Point IV, US$309m JFIN MM CLO 2014 and US$414m Staniford Street CLO 2014-1.
Markets
The European secondary ABS market continues to provide solid - if unspectacular - opportunities, as SCI reported on 20 March. One trader expects this steady state to continue until the end of the month.
"Since Yellen's testimony, there has been a noticeable shift in sentiment," says the trader. "Whole swathes of the market are risk-off right now."
He adds: "Participants are likely to stick where they are standing now until quarter-end. There may be a little bit of inventory building at the dealer end, but overall ABS is going to stay pretty tight and perhaps pretty light."
In the US ABS market, meanwhile, BWIC volume started the week at just a little over US$100m (SCI 18 March). Supply in the first session of the week was varied, with bonds backed by auto, container, credit card, servicer advance and student loan collateral all out for the bid. Offering levels were generally unchanged from the end of the previous week.
The US non-agency RMBS market saw a slow start before activity picked up on Tuesday (SCI 19 March). BWIC volumes for that session reached around US$850m and bid-list supply contained a strong mix of bonds backed by different collateral types.
It was a stable week for US CMBS, with bid-list volume on Thursday reaching around US$380m. The session saw more than 40 unique US CMBS tranches captured by SCI's PriceABS data. Much of the supply was from pre-crisis paper, but covers were also observed for more recently-issued bonds, such as GSMS 13-GC16 A4.
The US CLO secondary market witnessed BWIC volumes of over US$500m over the course of the week, the majority of which were CLO 1.0 tranches, according to Bank of America Merrill Lynch CDO analysts. "Most paper came from the senior part of the stack. Triple-A items alone contributed over half of this week's total, while less than 10% came from mezzanine and equity tranches," they note.
Deal news
• Deutsche Bank, as trustee for WFRBS 2011-C3, has acknowledged a mistake in the appraisal value of the US$12.8m Campus Habitat 15 loan that was included in this month's trustee report for the CMBS. The bank has posted a revised report, increasing the appraisal value from an initial US$1.525m to the correct figure of US$15.25m.
• Remittances have been released for a further two assets liquidated in the CWCapital bulk sale: the US$80m Resurgens Plaza Atlanta and US$13m Mars Powerline loans securitised in the MLCFC 2007-5 CMBS. The former was liquidated below its most recent appraisal, while the latter sold slightly above appraisal.
• Energy Future Holdings is expected to file for Chapter 11 protection by the end of March, having narrowly avoided a default last November. However, current junior US CLO OC cushions are believed to have enough of a buffer to cover a TCEH default.
• Richmond, California's city council is now developing a distressed housing rehabilitation programme, following opposition to its efforts to use eminent domain (SCI passim). Under the latest plan, Richmond would buy, rehabilitate and then sell blighted homes in partnership with a local non-profit organisation (Richmond Community Foundation).
• Pubco Spirit has announced strong results for the first half in both its managed and tenanted businesses. The disclosure has strengthened the case for an upgrade of Spirit bonds to investment grade within a 12-month horizon.
• The Markit CDX IG index rolled to series 22 on 20 March, with four constituents substituted. Two of these names are in the materials sector, meaning that CDX IG22 is more heavily weighted in the materials sector than CDX IG21.
Regulatory update
• The US House Financial Services Committee have passed Representative Andy Barr's H.R. 4167 bill on a strong bipartisan vote of 53 to three. The key take-away from the mark-up session ahead of the bill's passage is a bipartisan agreement on the goal of allowing banks to hold CLO debt to maturity and to avoid forced selling of CLO debt.
• The CFTC has issued a request for public comment on its swap data recordkeeping and reporting requirements, including ways to improve its data collection and quality standards. The Commission says that comments received will inform its ongoing efforts to improve swap transaction data quality and determine whether and how the swap data reporting rules should be enhanced to ensure effective reporting.
• The New York Fed will next month further reduce its asset purchases to a pace of about US$25bn per month for MBS and US$30bn per month for longer-term Treasury securities. The existing March schedules for purchases at a pace of US$30bn and US$35bn per month respectively remain in effect until that time.
• France's Constitutional Court has ruled that a proposal to create a national credit registry (NCR) that would capture individual consumer loan indebtedness is unconstitutional (SCI 13 September 2013). The move is said to be credit negative for French structured finance transactions because the NCR would have been a tool for French lenders to assess applicants' indebtedness and thus their ability to afford loans, which would have improved the quality of collateral backing structured finance transactions.
• Measures announced by the Spanish government to facilitate debt refinancing and restructuring agreements could affect the recovery expectations and cashflows of SME CLOs and mortgage cover pools. Reforms may make SME funding scarcer or more expensive.
Top stories to come in SCI:
Developments in Chinese ABS