A look at the major activity in structured finance over the past seven days
Pipeline
Several deals were added to the pipeline last week, including a large number of CLOs. As well as four ABS, three RMBS and two CMBS there were nine new CLOs sitting in the pipeline at the week's end.
The ABS were US$385m Consumers 2014 Securitization Funding, US$722m Dell Equipment Finance Trust 2014-1, €259.7m German Mittelstand Equipment Finance No.2 and ¥12bn KAL Japan ABS 13 Cayman. €4bn BBVA RMBS 13, US$306m Sequoia Mortgage Trust 2014-2 and A$350m Triton Trust No.2 Bond Series 2014-1 accounted for the RMBS, while the CMBS were US$345m HILT 2014-ORL and US$269m JPMCC 2014-BXH.
The CLOs were: Avoca CLO XII; US$612.625m Carlyle Global Market Strategies CLO 2014-3; Cordatus Loan Fund IV; US$500m Covenant Credit Partners CLO I; US$410.5m Golub Capital Partners CLO 19(B); US$252.24m Resource Capital Corp 2014-CRE2; US$351.4m Saranac CLO III; US$350m Silver Creek CLO; and €360m Toro European CLO 1.
Pricings
There were even more deals exiting the pipeline. As well as seven ABS prints there were three RMBS, two CMBS and a further nine CLOs.
The ABS were: US$975m Ally Master Owner Trust Series 2014-4; €1.039bn Bavarian Sky German Auto Loan 2; US$340m Cabela's Credit Card Master Note Trust 2014-II; €355m E-Carat Compartment 7; US$350m Sierra Timeshare 2014-2; US$251m SoFi Professional Loan Program 2014-A; and US$29.92m Vermont Student Assistance Corp series 2014A.
€3.45bn FTA RMBS Santander 2, £350m Paragon Mortgages 20 and £242m Precise Mortgage Funding 2014-1 accounted for the RMBS. The CMBS were US$188m BAMLL 2014-ICTS and US$235m RSO 2014-CRE2.
Lastly, the CLOs were: €400m Carismi Finance 2014; US$415.4m Cutwater 2014-1; US$466m Galaxy XVIII; the refinanced US$257m Golub Capital Partners CLO 10; €196.5m Guerriero SPV 2014; US$1.036bn Madison Park Funding XIV; US$770m Octagon Investment Partners XX; US$463m Tralee CLO III; and US$518m Voya CLO 2014-3.
Markets
The European ABS market remains active as the seasonal summer slowdown is yet to take hold, as SCI reported last week (SCI 11 July). There is some softening in the secondary market, but primary activity continues at good levels.
"It is good to see so many primary deals getting done at such good subscription levels. These deals are generally pricing at the tight end of talk," reports one trader.
The US ABS market is also fairly active (SCI 10 July). Wednesday's session saw US$230m of paper out for the bid on BWICs, with SCI's PriceABS data listing several student loan tranches from that session.
A couple of sizable US non-agency RMBS bid-lists helped bring secondary market activity up sharply on Tuesday after a slow start to the week (SCI 9 July). BWIC volume on Tuesday reached around US$600m, with subprime paper leading the charge.
There was also resilience in the US CMBS market, according to Barclays Capital analysts. Despite a steady sell-off in credit and equity markets, they report new issue spreads were unchanged, with CMBS 3.0 last cash flow dupers remaining at swaps plus 75bp, while legacy dupers were flat at swaps plus 82bp.
Meanwhile activity in the US CLO market was light, with BWIC volumes totalling about US$160m. "Both senior and mezzanine 1.0 tranches traded well with good demand. Mezzanine trading in the 2.0 space was more choppy. Overall, CLO 1.0 spreads remained unchanged over the week while 2.0 triple-B to single-B widened out," report Bank of America Merrill Lynch CLO analysts.
Deal news
• Further details have emerged about the delay in Hertz's 1Q14 Form 10-Q filing (SCI 4 July). Due to a number of accounting errors, the firm is to restate its 2011 financial statements and review the corporate financial statements for 2012 and 2013.
• The rating of Goldman Sachs' latest secured funding product - dubbed Fixed Income Global Structured Covered Obligation (FIGSCO) - would most likely be equalised with that of the total return swap provider, says Fitch. The transaction is secured by a wide range of fixed income assets, including securitised debt, with overcollateralisation (OC) levels that are marked to market daily.
• BNP Paribas Asset Management has replaced BNP Paribas as collateral manager on six CLOs. The affected deals are Leveraged Finance Europe Capital I, Leveraged Finance Europe Capital II, Leveraged Finance Europe Capital III, Leveraged Finance Europe Capital IV, Neptuno CLO I and Versailles CLO M.E. I.
• The US$62.4m 2000 Corporate Ridge Road loan securitised in BACM 2006-4 has been moved into special servicing, according to the July remittance report. It will be specially serviced by C-III Asset Management.
• Details have emerged on the BAMLL 2014-ICTS single-sponsor CMBS. The US$188m transaction is backed by a non-recourse mortgage loan secured primarily by a first mortgage on the borrower's fee simple interest in a luxury hotel in New York City.
Regulatory update
• The EBA has published a final set of guidelines designed to support both originator institutions and competent authorities in the assessment of significant risk transfer (SRT) for securitisations. The guidelines aim to ensure a more consist approach in the assessment of significant risk transfer across the EU and to achieve a level playing field in this area.
• The EBA has published its final draft regulatory technical standards (RTS) specifying the minimum margin periods of risk (MPOR) that institutions acting as clearing members may use for the calculation of their capital requirements for exposures to clients. To incentivise the use of CCPs, the Capital Requirements Regulation (CRR) introduces special treatment for centrally cleared derivatives.
• ESMA has launched a round of consultations to prepare for central clearing of OTC derivatives in the EU. A consultation paper on draft regulatory technical standards for clearing CDS has been released to stakeholders.
• ISDA has announced the timeline of the protocol to upgrade 2003 credit derivative trades to the new 2014 Definitions. The protocol adherence period is expected to begin on 18 August and close on 12 September, with clearing and confirmation in the trade warehouse available from the index roll on 22 September.
• The trustees for the RMBS that fall under Citibank's US$1.125bn rep and warranty settlement have exercised their right to extended by 45 days the deadline to respond to the offer. The new deadline is 14 August.