A look at the major activity in structured finance over the past seven days
Pipeline
Many more deals joined the pipeline last week than had been added in the week before. They consisted of four ABS, an ILS, an RMBS, two CMBS and seven CLOs.
The newly-announced ABS were: US$726.9m GEET 2014-1; US$200m Hilton Grand Vacations Trust 2014-A; US$850m NALT 2014-A; and US$93.1m Rhode Island Student Loan Authority Series 2014-1. The ILS was US$300m Alamo Re Series 2014-1 and the RMBS was US$250m WIN 2014-1. Meanwhile, the CMBS comprised €355m DECO-2014 Gondola and US$770m JPMCC 2014-C20.
As for the CLOs, those consisted of: A10 Term Asset Financing 2014-1; US$1.5bn ALM XIV; US$622m CIFC Funding 2014-III; US$459.75m JFIN CLO 2014-II; US$408.25m Magnetite IX; US$619.79m OZLM VII; and Phoenix Park.
Pricings
Even more deals priced last week. Of these prints, 11 were ABS, six were RMBS, six were CMBS and 10 were CLOs.
The ABS new issues comprised: US$1.4bn AmeriCredit Automobile Receivables Trust 2014-2; US$225m California Republic Auto Receivables Trust 2014-2; US$850m Citibank Credit Card Issuance Trust 2014-A5; US$1bn CNH Equipment Trust 2014-B; US$202.5m CPS Auto Receivables Trust 2014-B; £500m Delamare Cards 2014-1; US$1.5bn Fifth Third Auto Trust 2014-2; US$617m MMAF Equipment Finance 2014-A; US$612m PHEAA Student Loan Trust 2014-2; A$930m SMART ABS Series 2014-2E Trust; and US$150m Tidewater Auto Receivables Trust 2014-A.
The RMBS prints consisted of: the re-offered €1bn Claris ABS 2011; US$1.639bn-equivalent Fosse Master Issuer Series 2014-1; £475m Friary No. 2; A$1.25bn IDOL Trust 2014-1; €500m MARS 2600 series V; and €750m Storm 2014-II. Meanwhile, the CMBS were: US$655m CSMC Trust 2014-ICE; US$865m EQTY 2014-INNS Mortgage Trust; US$1.45bn GCMT 2014-388G; US$961.5m GSMS 2014-GC22; US$350m LCCM 2014-909; and US$1.3bn MSBAM 2014-C16.
Finally, the CLO pricings comprised: US$619m ACAS 2014-1; €382.4m ALME Loan Funding II; US$555m BlueMountain CLO 2014-2; €400m Carlyle Global Market Strategies Euro CLO 2014-2; US$413m Flatiron CLO 2014-1; US$414m Galaxy XVII CLO; US$481m Kingsland VII; US$620m KVK CLO 2014-2; US$409m NewStar Arlington Senior Loan Program; and US$777m OHA Credit Partners X.
Markets
The week started with limited activity in the US ABS and MBS markets, but an active session for the US CLO secondary market, as SCI reported on 3 June. SCI's PriceABS data listed more than 30 unique US CLO tranches for Monday's session, with vintages ranging from 2005 up to 2014.
US ABS activity picked up during the week and BWIC volume reached around US$172m on Wednesday (SCI 5 June). That session saw a mix of auto, credit card, equipment, railcar and franchise loan bonds out for the bid - including the SPMF 2014-1A A2 tranche, which was talked in the mid-160s and at swaps plus 165, before being covered at plus 164.
Demand was stable in the US non-agency RMBS market, with weekly trade volume of around US$6.2bn and BWIC volume of about US$2.4bn, according to Wells Fargo structured product analysts. There was some widening for GSE risk-sharing M2 and M3 bonds.
European RMBS spreads tightened on the back of the ECB's announcement (SCI 6 June), according to JPMorgan asset-backed analysts. Peripheral jurisdictions benefited the most, with Spanish RMBS and Italian RMBS tightening by 20bp and 10bp respectively at the senior level.
There was also a rally in the US CMBS market, where spreads tightened on Thursday as secondary volumes climbed (SCI 6 June). Banks were particularly keen to take down large blocks of CMBS 2.0 and 3.0 bonds.
The European CMBS market, meanwhile, has been subdued lately but saw a few BWICs announced for Wednesday and Thursday, which one trader expected to inject some life into the market (SCI 4 June). "The fact that they were announced so close together might just be a coincidence, but it could also mark the start of increased activity," the trader says.
He adds: "Everybody will be at the conference in Barcelona [this] week and after that summer is just around the corner, so if activity is going to pick up, it will have to be soon. These upcoming BWICs should generate some selling and that is positive, but if the primary market can also pick up, then that would really start a buzz."
Deal news
• Credit Foncier de France's €907m CFHL-1 2014 prime RMBS - which closed last month (see SCI's primary issuance database) - is noteworthy as the first public French RMBS since the financial crisis and because it was fully placed, with an innovative structure aimed at achieving significant risk transfer (SCI 1 May). In particular, the €376m class A2 tranche is re-marketable instead of being subject to a time-call option.
• CWCapital has reportedly taken formal ownership of Stuyvesant Town-Peter Cooper Village via a deed-in-lieu of foreclosure. The move is said to have prevented another party from seizing control of the asset by exercising its right to buy a key loan on the property.
• Hatfield Philips International (HPI) has outlined its credentials and performance as servicer and special servicer on the Windermere X CMBS portfolio. The move appears to be in response to efforts by the controlling class representative (Brookland Partners) to replace HPI with Mount Street Loan Solutions as special servicer of the Bridge, Built, Lightning Dutch and Tresforte loans (see also SCI's CMBS loan events database).
• Further details have emerged about Volkswagen's much-anticipated debut Chinese auto loan ABS, the RMB799.7m Driver China One Trust (SCI 1 April). The deal - arranged by CICC - is structured under the China Banking Regulatory Commission's credit asset securitisation regime.
• The US Court of Appeals for the Second Circuit has vacated an order by a US district judge which refused to approve a settlement between the SEC and Citigroup Global Markets. The underlying dispute concerns SEC allegations that Citi sold a US$1bn CDO called Class V Funding III without disclosing that it had bet US$500m against the assets in the deal.
• There is a risk that Watercraft Capital bondholders will not be compensated for the delay in the re-development of the Castor oilfield, following seismic activity in the region. The transaction is the first to be issued under the EU's Europe 2020 Project Bond Initiative and refinances outstanding loans in connection with the construction and operation of an underground gas storage facility off the northern Spanish Mediterranean coast (SCI 15 July 2013).
• Dock Street Capital Management has been retained to act as liquidation agent for RFC CDO IV in a public sale of the collateral scheduled for 12 June. Separate auctions will be conducted for Belle Haven ABS CDO 2006-1, Kleros Preferred Funding and Trainer Wortham First Republic CBO V on 20 June.
• HoldCo CDO Opportunities Fund has amended its tender offer for SKM-Libertyview CBO I class C and D notes (SCI 27 May). Under the amendments, the deadline for receiving an early tender premium has been extended to 13 June and the expiration date has been extended to 7 July.
Regulatory update
• The ECB has announced measures to support lending to the real economy, including intensifying preparatory work for outright purchases of ABS. The bank also intends to conduct a series of targeted longer-term refinancing operations (TLTRO).
• AFME has welcomed the Bank of England and ECB's discussion paper on revitalising the European securitisation market (SCI 30 May), noting that the report "helpfully acknowledges" the strong performance of high‐quality transactions in the region. The association adds that the concept of 'qualifying securitisations' fits well with recent calls by the European Commission to revive a sustainable market for high‐quality securitisation in Europe, as well as the analysis currently being undertaken by the European Banking Authority.
• IOSCO has published a consultation report entitled 'Good Practices on Reducing Reliance on CRAs in asset management'. The purpose of the report is to gather the views and practices of investors and other interested parties in order to develop a set of good practices designed to reduce overreliance on external credit ratings in the asset management space.
Deals added to the SCI New Issuance database last week:
A-Best 9; Aozora Re; Atlas Senior Loan Fund V; BPCE Master Home Loans; Delamare Cards MTN Issuer series 2014-1; Dutch Mortgage Portfolio Loans XII; EQTY 2014-INNS; iArena; Invitation Homes 2014-SFR1 Trust; Jamestown CLO IV; Kentucky Higher Education Student Loan Corp Series 2014A; Nakama Re series 2014-1; Regatta IV Funding; RESIMAC Premier Series 2014-1; RevoCar 2014; Sanders Re series 2014-2
Deals added to the SCI CMBS Loan Events database last week:
BACM 2007-4; BACM 2008-1; BSCMS 2007-PW15; CGCMT 2006-C4 & CD 2006-CD3; COMM 2006-C8; CD 2007-CD4 & GECMC 2007-C1; CSFB 2005-C5; DECO 2006-E4; DECO 2007-E5; DECO 9-E3; EMC IV; EMC VI; FREMF 2011-K13; GECMC 2001-1; GMACC 2004-C3; JPMCC 2006-LDP7; LBUBS 2006-C7; LBUBS 2007-C2, LBUBS 2007-C7; LBUBS 2008-C1 & JPMCC 13-WT; LEMES 2006-1; MALLF 1; MSBAM 2013-C8; TAURS 2007-1; TITN 2007-1; TITN 2007-CT1; TMAN 7; WBCMT 2006-C25; WFRBS 2011-C2