A look at the major activity in structured finance over the past seven days
Pipeline
It was back to normal for the pipeline last week as ABS additions once again led the way. Nine new ABS were announced, as well as two RMBS and four CLOs.
The ABS were: US$535.2m ARI Fleet Lease Trust 2014-A; C$644.34m Ford Auto Securitization 2014-R2; US$718m GEEST 2014-1; US$705m GMALT; US$1bn John Deere Owner Trust 2014; US$1.37bn MBALT 2014-A; £100m Motor 2014-1; Penarth Master Issuer 2014-1; and Porterbrook.
The RMBS joining the pipeline were £333m Oak No.1 and US$966m STACR 2014-DN2. Meanwhile, the CLOs were US$363.4m Cedar Funding III, US$325m NewStar Commercial Loan Funding 2014-1, US$400m Trinitas CLO I and US$400m Wind River 2014-1.
Pricings
ABS were less prevalent among completed issuance last week, with a more even distribution of deals. There were four ABS, two RMBS, three CMBS and five CLO prints.
The ABS pricings comprised: US$625m Chase Issuance Trust 2014-A2, US$1.425bn Chase Issuance Trust 2014-A3, US$400m Hertz Fleet Lease Funding Series 2014-1 and €756m Volta II. The RMBS were US$487m Sequoia Mortgage Trust 2014-1 and the re-offered €347m Quadrivio RMBS 2011.
The CMBS new issues consisted of US$1.1bn COMM 2014-CCRE16, US$1.2bn GSMS 2014-GC20 and US$1.08bn MSBAM 2014-C15. Finally, the US$513m BlueMountain CLO 2014-1, US$415m Canyon Capital CLO, US$412m CFIP 2014-1, €450m CVC Cordatus III and US$628m Sound Point CLO V priced.
Markets
US non-agency RMBS secondary market activity picked up mid-week, with bid-list supply reaching around US$650m on Wednesday (SCI 27 March). SCI's PriceABS data shows a wealth of 2005-vintage paper out for the bid in that session, as well as a range of fixed-rate and subprime tranches.
The US CMBS market also experienced some busy sessions, such as on Tuesday, when BWIC volume reached around US$700m (SCI 26 March). Supply on that occasion was significantly boosted by one large list of 2005 and 2006 duper paper that traded all-or-none to one dealer.
But it was a relatively quiet week for the US CLO secondary market, according to Bank of America Merrill Lynch analysts. BWIC volumes totalled just over US$300m and spreads for both 1.0 and 2.0 transactions remained unchanged.
"On the other hand, the European CLO market saw relatively high volumes again, with €230m of bonds appearing on BWIC lists. Most of this was concentrated in single-A and triple-B bonds and equity. Equity traded well, at around 8%-10% IRR," the analysts add.
Deal news
• In a somewhat unexpected move, JPMorgan recognised in the March remittances prior forbearance-related losses for a number of BSABS deals. A couple of other RMBS also realised similar losses during the month.
• The Markit iTraxx Crossover index expanded to 60 names in the roll to Series 21, reflecting the expanding high yield market in Europe (SCI 13 February). The move is expected to provide a better portfolio hedge for cash portfolios and a better short than XO20 in relative value trades.
• The Markit CDX HY index rolled from Series 21 to Series 22 on 27 March, with two constituent and three name changes. The impact of the two constituent substitutions is estimated to be around 4bp.
• Paul Carman has been replaced by Peter Goody as a key person on the Harvest CLO II transaction.
• An auction has been scheduled for Dekania CDO II on 9 May. The securities will only be sold if the proceeds are at least equal to the total redemption amount. The auction call redemption date is currently expected to be 23 May.
Regulatory update
• A number of trade associations have submitted comments to the Basel Committee on revisions to the securitisation framework proposed in its Second Consultative Document. They believe that the proposed capital requirements for securitisation exposures remain much higher than justified by historical loss incidence in most asset classes, by comparison with other methods of finance or in relation to the capital requirements of the underlying asset pools.
• New legislation released by the US House Financial Services Committee's Maxine Waters would significantly reform the current US housing finance system. The Housing Opportunities Move the Economy (HOME) Forward Act creates a new regulator and issuer, as well as providing for the transfer of the GSEs' multifamily programmes.
• Credit Suisse and related companies have settled private-label mortgage-backed securities fraud charges with the FHFA for US$885m. The settlement resolves all of the FHFA's claims against Credit Suisse in the FHFA's lawsuit against the bank as well as all claims against it in the FHFA's lawsuit against Ally Financial.
• The Italian government's December Decree (SCI 19 December 2013) has been converted into law and published in the Italian Official Gazette, with some additional amendments. The decree seeks to address certain issues that have to date remained open under the original formulation of Law 130, the country's securitisation framework.
• The China Banking Regulatory Commission (CBRC) announced last month that commercial bank non-performing loans (NPLs) rose to RMB592.1bn in 4Q13 from RMB492.8bn in the same period of 2012. In addition, the NPL growth rate significantly outpaced total loan growth in 4Q13.
• The UK FCA on 26 April will implement the Mortgage Market Review (MMR), a set of reforms aimed at creating a mortgage market that works better for consumers and is more sustainable for all participants. Third-party residential mortgage servicers are said to be well prepared for the changes ahead of the MMR's implementation.
Deals added to the SCI New Issuance database last week:
Ally Master Owner Trust 2014-2; Ally Master Owner Trust 2014-3; AmeriCredit Automobile Receivables Trust 2014-1; Apidos CLO XVII; Avery Point IV CLO; Babson Euro CLO 2014-1; Battalion CLO V; BNPP IP CLO 2014-1; Cabela's Credit Card Master Note Trust series 2014-I; California Republic Auto Receivables Trust 2014-1; CarFinance Capital Auto Trust 2014-1; Cartesian Residential Mortgage 1; Castlelake Aircraft Securitization Trust 2014-1; Chrysler Capital Auto Receivables Trust 2014-A; COMM 2014-BBG; COMM 2014-LC15; CPS Auto Receivables Trust 2014-A; Ford Credit Auto Lease Trust 2014-A; FREMF 2014-K37; Gatwick Funding; Golden Credit Card Trust Series 2014-1; Golden Credit Card Trust Series 2014-2; Greywolf CLO III; Hyundai Auto Lease Securitization Trust 2014-A; JFIN MM CLO; La Trobe Financial Capital Markets Trust 2014-1; Lanark Master Issuer Series 2014-1; Merna Re V; Murray Trust Repo Series No. 1; New Residential Advance Receivables Trust Series 2014-T1; New Residential Advance Receivables Trust Series 2014-T2; New Residential Advance Receivables Trust Series 2014-TF1; New Residential Advance Receivables Trust Series 2014-VF1; Northwoods Capital XI ; Octagon Investment Partners XIX; OZLM VI; Prestige Auto Receivables Trust 2014-1; Saecure 14 NHG; SC Germany Auto 2014-1; SC Germany Consumer 2014-1; Sierra Timeshare 2014-1; SLM Student Loan Trust 2014-2; Springleaf Funding Trust 2014-A; Staniford Street CLO; TICP CLO I; Toyota Auto Receivables 2014-A Owner Trust; WFRBS 2014-C19
Deals added to the SCI CMBS Loan Events database last week:
BACM 2004-6; BACM 2007-1; BAMLL 2012-PARK; BSCMS 2005-PWR9; BSCMS 2007-T26; CD 2007-CD5 & CGCMT 2008-C7; CGCMT 2005-C3; COMM 2004-LB4A; COMM 2004-LNB4; CSFB 2002-CP5; CSFB 2003-CK2; CSFB 2005-C6; CSMC 2006-C4; CSMC 2006-C5; CSMC 2007-C1; DECO 2006-C3; DECO 2006-E4; DECO 8-C2; ECLIP 2006-3; ECLIP 2007-2; EPICP CULZ; EPICP DRUM; EURO 27; FLTST 3; FOX 1; GECMC 2005-C4, GECMC 2006-C1 & COMM 2005-FL11; GMACC 2001-C2; JPMCC 2004-CB9, LBUBS 2004-C8 & MSC 2004-T15; JPMCC 2004-LN2; JPMCC 2005-LDP5; JPMCC 2006-CB14; JPMCC 2007-LDPX; LBUBS 2004-C1; LBUBS 2005-C5; LBUBS 2006-C3; LEMES 2006-1; MLCFC 2007-5; MLMT 2003-Key1; MLMT 2005-MCP1; MSC 2007-HQ12; MSC 2007-IQ16; MSC 2007-T25; TAURS 2006-2; TITN 2006-1; TITN 2007-2; TITN 2007-CT1; TMAN 4; TMAN 5; TMAN 6; UTREF 1; WBCMT 2003-C7 & WBCMT 2003-C8; WBCMT 2003-C9; WBCMT 2005-C17; WBCMT 2006-WHALE 7; WBCMT 2007-C30; WBCMT 2007-C33; WFRBS 2011-C3; WINDM X; WINDM XII
Top stories to come in SCI:
Developments in Chinese ABS