A look at the major activity in structured finance over the past seven days
Pipeline
There were 11 new additions to the pipeline last week that had not priced by Friday. They consisted of six ABS, one ILS, two RMBS and two CLOs.
The ABS entrants were: US$299m Credit Acceptance Auto Loan Trust 2014-1; €952.5m Driver Twelve; US$266.09m Flagship Credit Auto Trust 2014-1; US$650m Harley-Davidson Motorcycle Trust 2014-1; €37m IGEA; and US$507.38m OneMain Financial Issuance Trust 2014-1. The ILS was US$100m Citrus Re Series 2014-1.
€705m Claris RMBS 2014 and £564m Darrowby No.3 accounted for the newly announced RMBS. The CLOs, meanwhile, were US$700m CIFC Funding 2014-II and US$410m Golub Capital Partners CLO 19(B).
Pricings
It was a bumper week for pricings. As well as ten ABS prints, three RMBS and seven CLOs were issued.
Last week's auto-related ABS prints comprised: US$535.2m ARI Fleet Lease Trust 2014-A; US$220m First Investors Auto Owner Trust 2014-1; US$705.07m GM Financial Automobile Leasing Trust 2014-1; US$1.987bn MBALT 2014-A; and US$210m SNAAC Auto Receivables Trust Series 2014-1. These deals were joined by: US$1.05bn Capital One Multi-asset Execution Trust 2014-2; US$450m Capital One Multi-asset Execution Trust 2014-3; US$688.6m GEEST 2014-1; US$1bn John Deere Owner Trust 2014; and US$70.2m SolarCity LMC Series II 2014-1.
The RMBS pricings consisted of: US$513m Colony American Homes 2014-1; £370m Oak No.1; and US$966m STACR 2014-DN2. The US$468m Catamaran 2014-1, US$800m Fortress Credit Opportunities 2014-3, €513.63m Holland Park CLO, US$371m LCM X Partnership refinancing, US$510m Pinnacle Park CLO, US$400m Trinitas CLO I and US$620m Wind River 2014-1 rounded the issuance out.
Markets
A busy European RMBS market has fuelled a rally in Dutch bonds, as SCI reported last week (SCI 3 April). "The strong tightening on Cartesian Residential Mortgage 1 shows that investors are still hungry for bonds," confirms one trader.
The Cartesian deal priced last month, with the class A notes printing at 110bp over Euribor. The bonds are already being traded at a cash price of 101.2, representing a tightening of 30bp in just a few weeks.
The US non-agency RMBS market picked up as the week went on (SCI 4 April). BWIC volume on Thursday was around US$850m, with SCI's PriceABS data showing a range of fixed-rate, hybrid and subprime names out for the bid.
US CMBS supply was anaemic on Monday but much stronger on Tuesday (SCI 2 April). More than half of the supply on Tuesday came from a list of A1A bonds, with PriceABS picking up names such as BACM 2006-5 A1A and MSC 2007-T27 A1A, both of which were covered.
In the US ABS market there was not the same slow start that the RMBS and CMBS markets made. Bid-list supply on Monday came in at around US$340m (SCI 1 April), with auto, container, equipment, student loan and timeshare bonds all out for the bid.
In the US CLO secondary market, meanwhile, it was another quiet week. Bank of America Merrill Lynch analysts report BWIC volume of US$300m, which was somewhat concentrated in 2.0s.
"In Europe, [CLO] secondary market volumes were also lower than in recent weeks, with around €110m appearing on BWIC lists - of which around €30m was original triple-As. Double-A bonds traded well, with strong real money demand, but participation was mixed elsewhere in the capital structure and a number of items did not trade," the analysts note.
Deal news
• A number of corrections were made in the March remittances to the cashflows for the US$678m Skyline Portfolio loan, after discrepancies emerged around ASER and WODRA calculations in previous months. The loan - which is securitised in BACM 2007-1, GECMC 2007-C1 and JPMCC 2007-LDPX - was modified last November and had suffered interest shortfalls since then (see SCI's CMBS loan events database).
• The Southlake mall outside Atlanta, Georgia, has been bought by Vintage Real Estate. The mall backs a US$100m loan in REO, of which US$70m was securitised in BSCMS 2007-PW18.
• Banco BPI has launched a tender offer for 10 bonds across its Douro Mortgages No. 1, 2 and 3 RMBS. The amount outstanding is €1.85bn.
• Auction.com has scheduled note sales for properties backing US$144m in US CMBS loans over the next two months. The deal with the largest exposure is MLMT 2005-CIP1, with US$21m out for the bid.
• Moody's says the execution of deeds of undertaking by swap provider RBS relating to swap agreements between Granite Mortgages 2003-2, 2004-1 and 2004-2 and RBS will not result in a reduction or withdrawal of the notes' ratings. RBS has chosen not to transfer the swap or obtain a guarantee.
• S&P has lowered to double-B minus from triple-B and placed on credit watch negative its ratings on Punch Taverns Finance (Punch A) class A1(R) and A2(R) notes. At the same time, the agency has placed on credit watch negative the ratings on Punch A's class M1, M2(N), B1, B2, B3, C(R) and D1 notes, as well as the Punch Taverns Finance B (Punch B) class A3, A6, A7, A8, B1, B2 and C1 notes.
• Moody's has placed the senior notes of AHML 2013-1 under review for possible downgrade. The action follows the senior unsecured debt rating of the Agency for Housing Mortgage Lending (AHML) OJSC being put on review for downgrade earlier in the week.
• S&P has affirmed its ratings on the US$125m series 2011-1 class A, US$145m series 2011-1 class B and €50m series 2011-2 class A notes issued by Atlas VI Capital. The move follows the bonds' annual resets of the probability of attachment.
• Auctions will be conducted for the Longport Funding II and Trainer Wortham First Republic CBO IV transactions on 21 and 22 April respectively. The collateral shall only be sold if the proceeds are greater than or equal to the deals' auction call redemption amounts.
Regulatory update
• The US SEC has extended the re-opened comment period on two releases related to ABS shelf-eligibility under Regulation AB 2 - Asset-Backed Securities and Re-Proposal of Shelf Eligibility Conditions for Asset-Backed Securities (SCI 26 February). The Commission re-opened the comment period to permit interested persons to comment on an approach for the dissemination of potentially sensitive asset-level data.
• The Basel Committee has published a final standard on the treatment of derivatives-related transactions in its capital adequacy framework. The standardised approach for measuring counterparty credit risk exposures is designed to improve on existing non-modelled methodologies for assessing the counterparty credit risk associated with derivative transactions and replaces both the current exposure method and the standardised method in the Basel capital framework.
• SIFMA has submitted comments to FINRA regarding the agency's proposed amendments to FINRA Rule 4210 to establish margin requirements for transactions in the TBA market (SCI 3 February). The association submitted two parallel letters: a general SIFMA letter focused on the impact to FINRA member firms and another from SIFMA's Asset Management Group (AMG) that highlights specific insight and feedback from the buy-side community.
• SIFMA and the Financial Services Roundtable (FSR) have submitted comments to the US SEC that express significant concerns with its proposed approach to disseminating asset-level and other offering information under Regulation AB 2 (SCI 26 February). The two associations urge the Commission to abandon the "flawed" approach to the disclosure of asset-level information outlined in its Memorandum, which they say would expose both consumers and issuers to unwarranted risks and liabilities.
• The FHFA has reached a settlement in cases involving Bank of America, Countrywide Financial, Merrill Lynch and certain individuals totalling US$5.83bn. The cases alleged violations of federal and state laws in connection with private-label mortgage-backed securities (PLS) purchased by Fannie Mae and Freddie Mac between 2005 and 2007.
• A report on the Australian OTC derivatives market has been released by three of the country's regulators. It provides updated recommendations on mandatory requirements for central clearing, platform trading and trade reporting of OTC derivatives.
• The OTC Derivatives Regulators Group (ODRG) has issued a report that identifies the current list of remaining cross-border implementation issues related to global reform of OTC derivatives markets. The report also includes a summary of the status of these issues and a timetable for addressing them through a series of reports to the G20 Finance Ministers and Central Bank Governors over the course of 2014.
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