A look at the major activity in structured finance over the past seven days
Pipeline
After a fairly even distribution of new deals added to the pipeline two weeks ago, last week was dominated by newly-announced CLOs. There were two ABS, two CMBS and seven CLOs added to the pipeline.
The ABS were US$400m Ford Credit Floorplan Master Owner Trust A Series 2014-3 and US$1.1bn MBART 2014-1. The CMBS, meanwhile, were US$550m COMM 2014-SAVA and US$1.264bn JPMBB 2014-C21.
The CLOs were: US$415.25m Avery Point V CLO; US$500m CVP Cascade; US$315.5m Eaton Vance CLO 2014-1; the refinanced US$256m Golub Capital Partners CLO 10; US$469m Highbridge Loan Management 4-2014; US$616.4m Octagon Investment Partners XX; and US$414.25m WhiteHorse IX.
Pricings
CLOs again accounted for many of last week's prints. There were two ABS, three RMBS, four CMBS and eight CLOs.
The ABS were US$1.043bn American Express Credit Account Master Trust Series 2014-2 and €330m SC Poland Auto 2014-1, while the RMBS were €1.9bn Berica ABS 3, US$423m Citigroup Mortgage Loan Trust 2014-J1 and US$303.75m JPMMT 2014-2. The CMBS were US$863m COMM 2014-CCRE18, US$1.4bn COMM 2014-KYO, €355m DECO-2014 Gondola and £210m Taurus UK 2014-1.
Lastly, the CLOs were: US$734m Apidos CLO XVIII; €352m Ares CLO VII; €416m Dryden 32 Euro CLO; US$518m MidOcean Credit CLO III; €400m Phoenix Park; US$363m Silver Creek CLO 2014-1; US$416m Trinitas II CLO; and US$518m West CLO 2014-1.
Markets
The US non-agency RMBS secondary market was stable last week, as SCI reported on Thursday (SCI 26 June). BWIC volume for Wednesday's session was US$566m, down slightly on Tuesday's total, with supply driven by 2005- and 2006-vintage subprime bonds.
SCI's PriceABS data captured a number of US ABS tranches out for the bid on Tuesday, with several auto names out for the bid (SCI 25 June). Among them were the ACAR 2014-2 C tranche, which was covered in the low-200s, and the EART 2014-2A C tranche, which was talked in the very high-100s.
US CMBS supply was low at the start of the week (SCI 24 June). BWIC volume for Monday's session was just a little over US$100m and generic spreads were mostly unchanged from the week before.
Secondary activity in the US CLO market was moderate last week, with BWIC volumes totalling US$430m. "Shorter-WAL and especially front-pay tranches saw strong covers such as the 70s DM context seen for a 1.9-year 2007 triple-A line-item on Tuesday. Triple-Bs down to equity tranches also saw strong demands this week although a number of items did not trade as sellers' reserves were not met," note Bank of America Merrill Lynch analysts.
Deal news
• The Westin Falls Church hotel backing a US$62m loan in WBCMT 2006-C28 has been moved into special servicing. The loan switched from IO to amortising payments in November 2012.
• After The Cove at Southern became the first CMBS 2.0 loan to take a loss this month (SCI 19 June), a pair of CMBS 3.0 loans have also entered special servicing. The US$18m Landmark Building office in COMM 2012-CR3 and the US$16m Oakridge Office Park in MSBAM 2013-C7 moved into special servicing this month.
• Fitch has upgraded 78 tranches of the Granite Master Trust programme and three tranches of the Whinstone programme. All other tranches have been affirmed.
• CDS spreads on Anadarko Petroleum Corporation have tightened to levels not seen since 2007, according to Fitch Solutions' latest CDS case study. The seven-year low has been reached on the back of speculation that ExxonMobil may make a takeover bid.
• An auction has been scheduled for Sunrise CDO I on 15 July. The collateral shall only be sold if the proceeds are greater than or equal to the auction call redemption amount.
• The FDIC intends to offer for sale its interests in certain Trups CDOs through a series of auctions. These auctions are anticipated to commence around the week of 14 July.
Regulatory update
• The US SEC has adopted the first of a series of rules and guidance on cross-border security-based swap activities for market participants. The new rules will be key to finalising the remaining proposals.
• ESMA has published its final report on draft regulatory technical standards required under CRA 3 regarding information on transparency of structured finance instruments. The standards will complement the existing regulatory framework.
• A number of large institutional investors last week sued six RMBS trustees in New York state court for breaching their fiduciary duties and failing to force mortgage originators and RMBS issuers to repurchase defective loans. The trustees named include BNY Mellon, Citi, Deutsche Bank, HSBC, Wells Fargo and US Bank.
• The FHFA has reached a US$99.5m settlement with RBS to resolve claims alleging RBS violated federal and state securities laws in connection with private-label mortgage-backed securities (PLS) that were purchased by Freddie Mac between 2005 and 2007.