A look at the major activity in structured finance over the past seven days
Pipeline
Seventeen deals remained in the pipeline by the end of last week. They consisted of five ABS, three ILS, three RMBS, three CMBS and three CLOs.
The newly-announced ABS were: €475m Asset-Backed European Securitisation Transaction Nine; €543.5m Globaldrive Auto Receivables 2014-A; US$747m Navient Student Loan Trust 2014-1; US$275m Westlake 2014-1; and the refinanced ZAR825m Transsec securitisation.
The ILS consisted of US$200m Nakama Re Series 2014-1, US$100m Residential Reinsurance Series 2014-1 and US$150m Sanders Re Series 2014-2. The RMBS, meanwhile, were BPCE Master Home Loans, US$1.01bn Invitation Homes 2014-SFR1 and the refinanced ZAR382m Nqaba Finance 1 transaction.
The CMBS were US$1.1bn COMM 2014-UBS3, US$900m GRACE 2014-GRCE and US$974.1m WFCM 2014-LC16. Finally, the ACAS 2014-1, €1.86bn FTA PYMES Santander 8 and US$515m Jamestown CLO IV deals were added to the pipeline.
Pricings
Seventeen deals also left the pipeline last week. The prints consisted of seven ABS, three RMBS, three CMBS and four CLOs.
The ABS pricings were: US$1.3bn American Express Credit Account Master Trust Series 2014-1; US$411m Edsouth Indenture No.6 Series 2014-2; €600m Heathrow Funding 2014; US$1bn Honda Auto Receivables 2014-2 Owner Trust; US$384.5m Nelnet Student Loan Trust 2014-4; US$488.3m Porsche Financial Auto Securitization Trust 2014-1; and US$483.6m Wheels SPV 2 Series 2014-1.
US$482.7m American Homes 4 Rent 2014-SFR1, €927m CFHL-1 2014 and €538m Hypenn RMBS II accounted for the RMBS prints, while the CMBS new issues were US$257.5m CGBAM 2014-HD, US$1.45bn FREMF 2014-K715 and US$535m PFP III 2014-1. The CLO pricings comprised US$570m AIMCO CLO Series 2014-A, US$621m Cent CLO 21, €500m FTA PYMES Santander 9 and US$725.6m LCM XVI.
Markets
US ABS secondary market activity started the week slowly, but picked up on Wednesday, as SCI reported on 15 May. The mid-week session saw BWIC volume of around US$120m and SCI's PriceABS data captured a range of names circulating during the session, including several auto ABS tranches.
The US non-agency RMBS market had one of its busiest sessions in recent weeks when BWIC volume reached US$716m on Tuesday (SCI 14 May). The bulk of that session's supply came from senior and mezzanine subprime floaters.
In US CMBS, the week began with a number of A4 and AJ bonds out for the bid as BWIC volume came in at around US$175m on Monday (SCI 13 May). A large CDO liquidation list of fully written-down legacy subordinated bonds also traded.
Meanwhile, low transaction volumes in the European CMBS market helped to insulate spreads from softening in the broader markets, report Bank of America Merrill Lynch analysts. DMs on legacy CMBS last week stood at roughly 120bp over Libor on first-pay tranches, 170bp on second-pays, 200bp on third-pays and 350bp on fourth-pays.
Deal news
• Further analysis of the mezzanine loan encumbered by Stuyvesant Town-Peter Cooper Village has emerged, following reports that CWCapital plans to foreclose on the asset (SCI 15 May). US$1.4bn of mezzanine debt appears to have been tranched into various components, with Mezz 1-3 accounting for US$300m, Mezz 4-9 totalling US$600m, Mezz 10 totalling US$300m and Mezz 11 totalling US$200m.
• CAS and STACR spreads continued to grind tighter last week, with M2 classes hovering at 225bp-250bp and STACR M3s reaching new tights, coming in by about 20bp-25bp to 288bp-291bp. All classes from the risk-sharing RMBS are now trading above par and some earlier M2 classes are trading at significant premiums.
• The most recent payment report for European CMBS Infinity Soprano shows that the transaction amortised by €31.8m on the May IPD. In an unusual development, proceeds from two EHE loans that failed to pay in January (SCI 28 January) are continuing to be passed through to noteholders.
• Retailer Office Depot is set to close over 400 of its stores, following its merger with OfficeMax. A list of store closures has not yet been made available, but about 380 properties across 355 US CMBS loans are believed to have exposure to Office Depot or OfficeMax.
• A New York state court last week dismissed a fraud action filed by MBIA Insurance against JPMorgan. The suit was filed in 2012 in connection with a US$1.2bn RMBS - GMACM Home Equity Loan Trust 2006-HE4.
• At least two bids for each sub-pool of the DEKANIA CDO II were received from qualified bidders during the auction held on 9 May, which are at least equal to the total redemption amount. An auction call redemption shall consequently take place for the Trups CDO on 23 May, subject to the satisfaction of all requirements in the indenture.
• Auctions will be conducted for the RFC CDO II and III transactions on 2 June. The collateral shall only be sold if the proceeds are greater than or equal to the redemption amount.
Regulatory update
• The US Senate Committee on Banking, Housing and Urban Affairs has passed S.1217, the Housing Finance Reform and Taxpayer Protection Act, by a vote of 13-9. Two manager's amendments, no. 2 and no. 98, passed the Committee to amend the bill.
• Senator Elizabeth Warren has introduced legislation - the Bank on Students Emergency Loan Refinancing Act - that would allow FFELP, FDLP and certain private student loan borrowers to refinance existing loans into new Federal loans at the interest rates offered under the Federal loan programmes. A companion bill was introduced in the House by Representatives John Tierney and George Miller.
• The Reserve Bank of Australia has published updated and more detailed information on how its new reporting requirements for repo-eligible ABS will be implemented. In particular, all data for each securitisation must now be provided on a monthly basis, no later than seven calendar days after an issuer's specified coupon payment date and the equivalent monthly anniversary in non-coupon-payment months.
• The European Securities and Markets Authority (ESMA) has informed the European Commission of its intention to ease certain frontloading requirements under EMIR, with the aim of minimising uncertainty. ESMA says it believes that the frontloading procedure creates uncertainties for derivatives end-users, while the exact terms of the clearing obligation has not been defined, which could have an adverse impact on risk hedging and financial stability.
• The US SEC has charged Rafferty Capital Markets with illegally facilitating trades for another firm that was not registered as a broker-dealer as required under federal law. Rafferty has agreed to settle the charges by disgorging profits and paying a penalty for a total of nearly US$850,000.
Deals added to the SCI New Issuance database last week:
Anchorage Capital CLO 4; Arbor Realty Collateralized Loan Obligation 2014-1; Ares XXX CLO; BA Credit Card Trust 2014-2; Benefit Street Partners CLO IV; CarMax Auto Owner Trust 2014-2; CCG Receivables Trust 2014-1; Chase Issuance Trust 2014-5; COMM 2014-CCRE17; CSMC Trust 2014-IVR2; Ford Credit Auto Owner Trust 2014-REV1; Hildene CLO II; Hyundai Auto Receivables Trust 2014-B; LSTAR 2014-2; Madison Park Funding XII; Medallion Trust Series 2014-1P; Moorgate Funding 2014-1; Newstone Mortgage Securities No. 1; Pelican Finance No. 1; RedZed Trust Series 2014-1; Symphony CLO XIV; TAL Advantage V Series 2014-2; WFRBS 2014-C20.
Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-3; BACM 2006-4; BALL 2005-MIB1; BSCMS 2005-PWR9; BSCMS 2006-PW11; CMLT 2008-LS1; CSMC 2007-C2; DECO 7-E2; ECLIP 2006-2; EPC 3; EURO 23; EURO 25; EURO 28; GSMS 2013-GG10; JPMCC 2006-CB15; JPMCC 2007-CB18; JPMCC 2007-LD12; JPMCC 2007-LDPX; JPMCC 2012-FL2; LBUBS 2007-6; LEMES 2006-1; MLMT 2005-CIP1; TAURS 2006-3; TITN 2006-3; TITN 2007-CT1.