A look at the major activity in structured finance over the past seven days
Pipeline
A number of new deals were announced last week. In total, eight ABS, three ILS, three RMBS and six CLOs were added to the pipeline by the end of the week.
The newly-announced ABS were: US$151.739m BCC Funding VIII Series 2014-1; US$777.87m Capital Auto Receivables Asset Trust 2014-2; US$215m MMCA Auto Owner Trust 2014-1; US$912.423m Spirit Master Funding Series 2014-1, Series 2014-2 and Series 2014-3; €400m Voba No.5; and US849.15m World Omni Auto Receivables Trust 2014-A.
The ILS consisted of US$400m Everglades Re Series 2014-I, US$250m Kilimanjaro Re Series 2014-1 and €150m Lion I Re. The RMBS, meanwhile, comprised A$300m AFG 2014-1 Trust, A$300m Liberty Series 2014-1 Trust and A$500m Pepper Residential Securities Trust No.12.
Finally, €415m Avoca CLO XI; US$500m Benefit Street Partners IV; US$550m Halcyon Loan Advisors Funding 2014-2; US$400m Marathon CLO VI; US$400m Telos CLO 2014-5; and US$520.625m Washington Mill CLO joined the pipeline.
Pricings
It was an even busier week for completed issuance. There were 16 ABS prints, as well as one ILS, two RMBS, one CMBS and six CLOs issued.
Many of the ABS pricings were auto-related, including: US$1bn BMW Vehicle Lease Trust 2014-1; US$299m Credit Acceptance Auto Loan Trust 2014-1; US$288.76m DT Auto Owner Trust 2014-2; US$340.347m Element Rail Leasing I Series 2014-1; US$266.09m Flagship Credit Auto Trust 2014-1; US$850m Harley-Davidson Motorcycle Trust 2014-1; US$1.025bn Motor 2014-1; US$47.2m Santander Drive Auto Receivables Trust 2014-S1; US$45.2m Santander Drive Auto Receivables Trust 2014-S2; US$57.8m Santander Drive Auto Receivables Trust 2014-S3; US$80.6m Santander Drive Auto Receivables Trust 2014-S4; US$90.8m Santander Drive Auto Receivables Trust 2014-S5; and US$87.8m Santander Drive Auto Receivables Trust 2014-S6.
The non-auto ABS prints were: US$925m Chase Issuance Trust 2014-4; US$760m OneMain Financial Issuance Trust 2014-1; and £650m Penarth Master Issuer 2014-1. Additionally, the US$100m Citrus Re Series 2014-1 ILS and the €705m Claris RMBS 2014 and £564m Darrowby No.3 RMBS priced. The US$1.304bn FREMF K-F03 CMBS also completed.
The US$421.5m B&M CLO 2014-1, US$700m CIFC Funding 2014-II, US$812m Dryden 33, US$410.5m Golub Capital Partners CLO 19(B), US$359m Great Lakes CLO 2014-1 and US$627m Shackleton 2014-V transactions rounded the issuance out.
Markets
Much of the activity in the European CLO market was focused on the recent Vivarte default (SCI 18 March), as SCI reported last week (SCI 10 April). New deals are struggling to ramp up, while the secondary market has also been affected.
"The Vivarte default is making it much harder for deals that have not yet finished ramping. Managers may now be forced to buy lower quality loans in order to reach their effective targets," says one trader.
Meanwhile, European RMBS peripheral secondary spreads once again outperformed the rest of the market. "Italian, Spanish, Greek, Irish and Portuguese spreads all tightened on the back of increased primary and secondary activity, while the rest of the market closed the week broadly unchanged," note JPMorgan ABS analysts.
US ABS spreads were mostly unchanged over the week, as trading volumes picked up from the week before. "In contrast with the prior week, fixed-rate ABS total returns performed extremely well [last] week, rising 36bp as rates rallied," Barclays Capital ABS analysts add.
However, the US non-agency RMBS market has remained quiet, as SCI reported last week (SCI 11 April). Bid-list volume remained subdued, with SCI's PriceABS data recording a number of DNTs during Thursday's session.
More activity was seen in US CMBS, with BWIC volume reaching US$287m in Tuesday's session (SCI 9 April). Supply was skewed towards AM and AJ bonds, while a large list of 2006- and 2007-vintage multifamily-directed A1A tranches dominated on Wednesday.
In the US CLO market, secondary activity increased slightly over the week. Bank of America Merrill Lynch securitised products analysts note that US$490m BWIC supply was split evenly between 1.0 and 2.0 deals. "US 2.0 saw strong demand at the top of the capital structure and also further down in credit," they comment.
Deal news
• H/2 Asset Funding 2014-1, which closed last month, could represent a watershed for the CREL CDO market. The transaction harks back to the flexibility seen in legacy deals, which is expected to become increasingly prevalent in future issuances.
• A group of 18 institutional investors has reached an agreement with Citigroup under which it will make a binding offer to the trustees of 68 RMBS trusts issued by Citi to settle mortgage repurchase claims. The investors support the agreement and have asked the trustees to accept it.
Regulatory update
• The US Fed says it intends to give banking entities two additional one-year extensions to 21 July 2017 to conform their ownership interests in and sponsorship of CLOs covered by the Volcker Rule. The move is disappointing for the industry, which had called for comprehensive relief for CLOs under the rule.
• The OCC, the US Fed and the FDIC have adopted a final rule that strengthens the supplementary leverage ratio (SLR) standards for US bank holding companies (BHC) with more than US$700bn in total consolidated assets or more than US$10trn in assets under custody and any insured depository institution (IDI) subsidiary of these BHCs. Under the final rule, an IDI that is a subsidiary of a covered BHC must maintain a SLR of at least 6% to be well capitalised under the agencies' prompt corrective action framework.
• The US CFTC has issued No-Action Letter 14-46, replacing No-Action Letter 14-16 from 12 February. Subsequent to the issuance of the latter letter, CFTC staff continued to engage in dialogue with the European Commission and the UK Financial Conduct Authority - as well as with facility operators and market participants - concerning certain terms and conditions in the letter.
Deals added to the SCI New Issuance database last week:
ARI Fleet Lease Trust 2014-A; Avalon IV Capital; BlueMountain CLO 2014-1; BPHA Finance; Canyon Capital CLO 2014-1; Capital One Multi-asset Execution Trust 2014-2; Capital One Multi-asset Execution Trust 2014-3; Catamaran CLO 2014-1; CFIP CLO 2014-1; Chase Issuance Trust 2014-2; Chase Issuance Trust 2014-3; China Real Estate Asset Mortgages; Citibank Credit Card Issuance Trust 2013-A7 (re-open); COMM 2014-CCRE16; CVC Cordatus Loan Fund III; Dolphin Master Issuer series 2014-1; First Investors Auto Owner Trust 2014-1; Fortress Credit Opportunities III CLO; GE Equipment Small Ticket series 2014-1; GM Financial Automobile Leasing Trust 2014-1; GSMS 2014-GC20; H/2 Asset Funding 2014-1; Hertz Fleet Lease Funding Series 2014-1; Holland Park CLO; John Deere Owner Trust 2014; JPMCC 2014-FL4; LCM X Partnership; Mercedes-Benz Auto Lease Trust 2014-A; MSBAM 2014-C15; Oak No.1; ORES 2014-LV3; Pinnacle Park CLO; Porterbrook Rail Finance; Quadrivio RMBS 2011; Riverfront Re series 2014-1; Sequoia Mortgage Trust 2014-1; SNAAC Auto Receivables Trust Series 2014-1; SolarCity LMC Series II 2014-1; Sound Point CLO V ; THL Credit Wind River 2014-1 CLO; Thrive Homes Finance; Trinitas CLO I; Volta II Electricity Receivables Securitisation Notes; WFCM 2014-TISH.
Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-2; BACM 2006-3; BACM 2006-4; BACM 2007-1; BACM 2007-5; BRUNT 2007-1; BSCMS 2007-PW18; CD 2005-CD1; CGCMT 2007-C6; COMM 2006-C8; CSFB 2004-C5; DECO 2006-C3; DECO 2006-E4; DECO 2007-E5; DECO 6-UK2; DECO 7-E2; DECO 9-E3; ECLIP 2006-2; ECLIP 2006-3; ECLIP 2007-1, 2006-4, 2006-3, 2006-1 and 2005-4; EMC IV; EPICP CULZ; EURO 28; FOX 1; FREMF 2013-K712; GCCF 2007-GG9; GCCFC 2003-C1; GCCFC 2003-C2; GCCFC 2005-GG3; GCCFC 2007-GG11; GECMC 2007-C1; GMACC 2004-C1; GSMS 2007-GG10; JPMCC 2005-LDP1; JPMCC 2007-LDP11; JPMCC 2007-LDPX; LBUBS 2002-C4; LBUBS 2004-C7; LBUBS 2006-C3; LBUBS 2006-C6; LBUBS 2006-C7; LEMES 2006-1; MESDG CHAR; MLCFC 2007-9; MLMT 2005-CIP1; MLMT 2007-C1; MSBAM 2013-C7; PCMT 2003-PWR1; PPCRE 2006-1; PROUL 1; SOVC 2007-C1; TESCO 6; TITN 2006-3; TMAN 4; TMAN 5; TMAN 6; TMAN 7; WBCMT 2005-C19; WBCMT 2006-C24; WBCMT 2006-C25; WBCMT 2006-C27 & BACM 2006-4; WFCM 2010-C1; WINDM VII; WINDM X; WINDM XI; WINDM XII; WINDM XIV.
Top stories to come in SCI:
Evolution of NPL deals