A look at the major activity in structured finance over the past seven days
Pipeline
Bank holidays on either side of the Atlantic contributed to a relatively quiet week. Four ABS, four RMBS and four CMBS deals were added to the pipeline.
The newly-announced ABS were US$1bn Fifth Third Auto Trust 2014-2, US$728m MMAF Equipment Finance 2014-A, US$612m PHEAA Student Loan Trust 2014-2 and €1.4bn Sunrise series 2014-1. Fosse Master Issuer series 2014-1, €432m MARS 2600 series V, €752m STORM 2014-II and the re-offered Claris ABS 2011 accounted for the RMBS. Meanwhile, the CMBS comprised US$655m CSMC Trust 2014-ICE, US$1.45bn GCMT 2014-388G, US$350m LCCM 2014-909 Mortgage Trust and US$1.3bn MSBAM 2014-C16.
Pricings
European RMBS dominated the limited list of prints last week. Four RMBS priced, as well as two ABS and one CLO.
The RMBS new issues were €44.07bn BPCE Master Home Loans, €897m Dutch Mortgage Portfolio Loan XII, €342m iArena and US$500m-equivalent RESIMAC Premier Series 2014-1. The €475m A-BEST 9 and €350m RevoCar 2014 transactions accounted for the ABS prints, while the CLO was US$617.5m Jamestown CLO IV.
Markets
US non-agency RMBS BWIC volume picked up mid-week to reach US$410m on Wednesday, as SCI reported on 29 May. That day's session saw a variety of bonds out for the bid, with SCI's PriceABS data recording cover prices for tranches such as the option ARM SAMI 2006-AR8 A1BG.
US CMBS spreads were relatively unchanged last week on fairly low volumes, according to Barclays Capital analysts. "In the legacy sector, 2007 dupers stayed at swaps plus 84bp and 2007 AJ remained at swaps plus 443bp. Agency CMBS spreads were also unchanged and the Freddie K 10-year A2 tranche remains at swaps plus 40bp," they observe.
US CLO secondary market activity was stable, with BWIC volumes amounting to around US$320m for the week. Bank of America Merrill Lynch CLO analysts note that about two-thirds of the line items came from 2.0 deals, with spreads were unchanged on the week.
"Compared to a month ago, 2.0 spread levels are 10bp-25bp wider from double-A to double-B. In the 1.0 space, single-A to double-B tranches did not receive strong bids and a number of them did not trade as sellers' reserve levels were not met," the BAML analysts add.
Meanwhile, European RMBS spreads were marginally tighter across the board, according to European securitisation analysts at JPMorgan. This extended to Italian and Spanish paper, which managed to reverse some of the widening seen over recent weeks.
Deal news
• Green Tree Servicing's failure to meet error rate thresholds for eight of 29 National Mortgage Settlement (NMS) servicing metrics in its first testing period is said to be credit neutral for existing private-label RMBS. Nevertheless, the failure underscores the challenges non-bank servicers face in handling servicing acquisitions from larger banks.
• A further 64 properties backed by US$403m in US CMBS loans have been added to the Auction.com sales listed for June (see also SCI's CMBS loan events database). A large portion of these loans are believed to be securitised in a few deals on which CWCapital is the special servicer.
• Ford Automotive Finance (China) has completed its first auto loan ABS in China, becoming the first wholly foreign-owned auto finance company to complete a transaction under the most recent ABS pilot programme governed by the China Banking Regulatory Commission and the People's Bank of China. Sized at RMB800m, the deal is called Fuyuan 2014-1 Retail Auto Mortgage Loan Securitization Trust.
• A stakeholder group comprising seven investors in the Punch A and Punch B whole business securitisations has proposed alternative restructuring terms to those launched by Punch Taverns at the beginning of the year (SCI 15 January). The proposal would result in a reduction in total net debt of £600m.
• The Amsterdam court has passed an interim ruling on the framework agreement that sets out the compensation process on due care claims of clients of the now bankrupt DSB Bank (SCI passim). The due care claims arise from borrower complaints about DSB's lending practices, with the bank's Chapel 2003-1, Chapel 2007, Monastery 2004-I and Monastery 2006-I RMBS bearing the associated losses.
• New capital invested in reinsurance sidecars reached US$1.92bn in 1Q14, the highest level of quarterly growth in the segment since 2009. New capital has surged even as reinsurance rates fall, suggesting that reinsurers have different motivations for sponsoring sidecars now than they did the last time there was a sharp increase in new capital in 2005-2006.
• HoldCo CDO Opportunities Fund has commenced a tender offer to purchase for cash all of the outstanding class C (US$8.14m principal amount) and D (US$35m) notes of SKM-Libertyview CBO I. The purchase price per US$1,000 outstanding principal amount is US$965 and US$23.57 respectively, with early tender premiums of US$20 and US$11.79 offered to holders that tender their notes by 30 May.
Regulatory update
• The Bank of England and the ECB have published their joint discussion paper on the revitalisation of European securitisation, building on the report published in April (SCI 14 April). The paper discusses the reasons for the shortcomings and the opportunities for improvement of the ABS market, and is designed to stimulate discussion among stakeholders on the impediments identified and the suggested policy options aimed at alleviating them.
• The China Bank Regulatory Commission (CBRC) recently issued risk management requirements that should help to establish a better foundation for China's securitisation market. The requirements apply separately to trust companies and financial leasing companies.
• The CFTC has addressed for the first time its definition of a swap as it applies to a specific insurance transaction. No action letter 14-67 allows US life insurers - via a Bermuda cell insurer - to provide a reinsurance hedge to banks active in protecting non-US pensions against the mortality improvements of specified individual beneficiaries.
• The CFTC has announced two actions designed to benefit utility special entities and promote end-user trading on swap execution facilities (SEFs) and designated contract markets (DCMs). To incentivise trading on SEFs and DCMs, it has issued a no-action letter that provides relief with respect to compliance with certain recordkeeping provisions of Regulation 1.35(a) to members of designated contract markets or swap execution facilities that are not registered or required to be registered with the Commission. The Commission has also issued a proposed rule amendment to adjust the de minimis threshold for determining if an entity that enters into swaps with utility special entities must register as a swap dealer.
Deals added to the SCI New Issuance database last week:
Arbour CLO; Armor Re Series 2014-1; Barclays Dryrock Issuance Trust 2014-2; Carlyle Global Market Strategies CLO 2014-2; CAS 2014-C02; Chestnut Financing; COMM 2014-UBS3; Exeter Automobile Receivables Trust 2014-2; Gallatin CLO VII 2014-1; Globaldrive Auto Receivables 2014-A; Golub Capital BDC CLO 2014; GRACE 2014-GRCE; Navient Student Loan Trust 2014-1; OCP CLO 2014-6; PYMES Santander 8; Spirit Master Funding series 2014-1; Spirit Master Funding series 2014-2; Spirit Master Funding series 2014-3; STORE Master Funding series 2014-1; Westlake Automobile Receivables Trust 2014-1; WFCM 2014-LC16.
Deals added to the SCI CMBS Loan Events database last week:
BACM 2004-3; BACM 2005-4; BACM 2006-1; BACM 2007-3 & JPMCC 2007-LDP11; BSCMS 2005-PWR9; BSCMS 2006-T22; BSCMS 2007-T28; CGCMT 2007-C6; CSFB 2004-C5; CSMC 2007-C1; DECO 2007-E5; ECLIP 2006-2; EPICP BROD, EPICP CULZ, EPICP DRUM; GECMC 2005-C4; GECMC 2007-C1; GMACC 2002-C3; GSMS 2005-GG4; GSMS 2007-GG10; INFIN SOPR; JPMCC 2006-LDP7; JPMCC 2006-LDP9 & JPMCC 2007-CB18; JPMCC 2007-LD12; LBUBS 2003-C7; LBUBS 2004-C7; LBUBS 2007-C6; LEMES 2006-1; MLMT 2005-LC1; MSC 2005-HQ7; SOVC 2007-C1; TAURS 2006-2; TITN 2006-3; TITN 2007-1; TITN 2007-CT1; TMAN 7; WBCMT 2005-C17; WBCMT 2006-C23; WBCMT 2006-C27; WINDM X; WTOW 2007-1.