A look at the major activity in structured finance over the past seven days
Pipeline
Many of the deals that joined the pipeline last week were quick to price. However, three ABS, an RMBS, five CMBS and six new CLOs remained at the end of the week.
The newly announced ABS comprised: US$300m HOA Funding Series 2014-1, US$387m MHEAC 2014-1 and US$277m State Board of Regents of the State of Utah Series 2014-1. The RMBS was A$500m SMHL Securitisation Fund 2014-1.
US$1.3bn COMM 2014-UBS4, US$284.1m CVS Series 2014, US$430m JPMCC 2014-DSTY, US$800m Morgan Stanley Capital I Trust 2014-CPT and US$1.24bn WFRBS 2014-C21 accounted for the CMBS entrants. Meanwhile, the CLOs consisted of €300m Babson Euro 2014-2, US$666.5m Dryden Senior Loan Fund XXIV, a refinancing of US$402.3m Shackleton I-R CLO, US$413m Silver Spring CLO, US$500m Sound Point CLO VI and St Paul's CLO V.
Pricings
A great many deals left the pipeline. As well as 12 ABS prints, an ILS, four RMBS, three CMBS and one CLO priced last week.
The ABS new issues were: US$500m Avis Budget Series 2014-2; US$500m Chase Issuance Trust 2014-6; US$378m Consumers 2014 Securitization; US$722m Dell Equipment Finance Trust 2014-1; US$675m GE Dealer Floorplan Master Note Trust Series 2014-1; £882m Gracechurch Card Programme Funding; US$227.56m JGWPT XXXII Series 2014-2; NZ$150m MTF Valiant Trust 2014; US$462.5m Navient Private Education Loan Trust 2014-CT; US$250.15m TCF Auto Receivables Owner Trust 2014-1; US$38.97m Westgate Resorts 2014-A; and US$300m World Financial Network Credit Card Master Note Trust Series 2014-B.
The ILS was US$31.825m Market Re Series 2014-2. The RMBS prints consisted of €4bn BBVA RMBS FTA 13, US$2.05bn CAS Series 2014-C03, US$306m Sequoia Mortgage Trust 2014-2 and A$500m Triton Trust 2.
The CMBS pricings included US$1.2bn CGCMT 2014-GC23, US$345m HILT 2014-ORL and €200m MODA 2014. Finally, the US$513.5m TICP CLO II rounded the issuance out.
Markets
In European RMBS, JPMorgan analysts note that "spreads closed the week slightly softer in both core and peripheral jurisdictions on the back of thinner flows, despite the steady stream of BWICs". Spanish spreads were most affected, with senior bonds closing the week 5bp wider at 150bp.
The US non-agency RMBS secondary market experienced a few sessions of moderate activity, meanwhile, with BWIC supply on Thursday totalling around US$650m (SCI 18 July). SCI's PriceABS data captured tranches from a range of vintages, including paper issued in 2003 and this year.
US CMBS BWIC volume was heavy last week, with more than US$500m circulating on Wednesday's bid-lists (SCI 17 July). The mid-week session saw a number of CMBS 1.0, 2.0 and 3.0 bonds out for the bid.
In the US ABS market, several student loan and credit card bonds drove issuance early in the week (SCI 16 July). Over half of Tuesday's BWIC supply came from a US$108m list of FFELP bonds.
It was also a busy week for the US CLO market, as BWIC volumes reached around US$435m, split fairly evenly between CLO 1.0 and 2.0 bonds. "CLO 1.0 deals continued to trade well, especially at the top of the capital stack. There was more tiering towards the bottom of the stack by managers and WALs. Despite the heavy supply in the primary market, 2.0 senior tranches held firm over the week. Spread levels were unchanged overall from last week's levels," report Bank of America Merrill Lynch analysts.
Deal news
• Pricing on the TMAN 7 class D bonds is said not to reflect the risks involved. An update call last month from special servicer Hatfield Philips has enhanced transparency around the transaction, but concerns about possible tax costs remain.
• 2007-vintage Eurosail RMBS continue to attract headlines due to their unhedged FX exposure and associated restructuring activity (SCI passim). Nevertheless, ESAIL bonds could offer interesting entry points for a range of investors, given the varied mix of currencies, ratings, WALs and risk profiles on offer.
• The US$54m Colony V portfolio located in the Chicago and Washington DC metro areas has received a modification creating two hope notes. The portfolio previously backed a US$53.7m loan in JPMCC 2007-LDPX.
• Simon Property Group formally completed its spin-off of 54 strip centres and 44 malls to Washington Prime Group (WPG) at the end of May. The new entity financed seven of these properties with US$410m of debt securitised in 2014-vintage CMBS 2.0 deals, meaning that 26 properties are now encumbered by a total of US$1.2bn of CMBS debt.
• C-III Asset Management has issued a clarification pertaining to the US$60.8m Rock Point Corporate Center loan securitised in CD 2006-CD2. The move is in response to a recent note published by Morgan Stanley's CMBS research team highlighting that an affiliate of the special servicer exercised a fair value purchase option (FVPO) on the asset for US$52.1m in May.
• BNP Paribas and Santander have announced a tender offer for two UCI bonds - the ninth for UCI paper over the past five years and the first Spanish RMBS tender offer of 2014. The offer is to repurchase the UCI 14 B and UCI 14 C bonds.
• Fitch has updated the presale for Volkswagen's Driver China One Trust (SCI 3 June). While the update reflects that references to the agency were removed from the transaction documents, there should be no rating impact.
• The first in a series of private FDIC bank Trups CDO auctions was scheduled for 17 July (SCI 24 June). A separate auction has been scheduled for Birch Real Estate CDO I on 23 July.
Regulatory update
• The 2014 ISDA Credit Derivatives Definitions contain a number of changes that are likely to impact the economic value of new financial CDS contracts, potentially bringing them more in line with the economics of the underlying cash bonds. Any projections of where the new CDS contracts will trade should consequently take cash bond pricing into account.
• The Full Federal Court of Australia last month dismissed an appeal by S&P, ABN Amro and Local Government Financial Services (LGFS) against a decision in favour of a group of New South Wales councils regarding the marketing and sale of Rembrandt CPDO notes (SCI 6 November 2012). The court also extended Justice Jane Jagot's original decision to rule that each of the three defendants were 100%, rather than proportionately, liable for the losses incurred.
• Democrats in the US House of Representatives have proposed a bill to wind down the GSEs and provide an explicit government guarantee while increasing private sector participation in the market. The Partnership to Strengthen Homeownership Act has been proposed by John Delaney, Jim Himes and John Carney.
• The FHFA is set to issue guidance by 1 December aimed at ensuring that non-bank servicers meet current servicing requirements. The move follows the release of an Office of Inspector General (OIG) report identifying broad problems in the mortgage servicing industry.
• The Russian State Duma last month approved a number of amendments to several articles of the Federal Law On Mortgages, including defining lender's mortgage insurance (LMI) in the event of borrower default and clarification of creditors' rights. Such changes are said to be credit positive for future Russian RMBS issuance as they limit losses for investors, while also potentially improving mortgage affordability for Russian borrowers.
• A relaxation of LTV and DTI regulations on Korean banks' mortgage loans could increase household debt and pressure Korean banks' asset quality. In a scenario where banks compete aggressively on underwriting standards or pricing to grow business, the credit risk of residential mortgage loan portfolios could increase quickly.
• Citigroup has agreed to settle an ongoing investigation by the RMBS Working Group. The agreement resolves actual and potential civil claims by the US DOJ, several state attorneys general and the FDIC relating to RMBS and CDOs issued, structured or underwritten by Citi between 2003 and 2008.
• American International Group has reached a global resolution of its RMBS-related disputes with Bank of America. The resolution also covers AIG's obligations to the US$8.5bn settlement of Countrywide's mortgage repurchase obligations to various investors (SCI passim), as well as disputes concerning the issuance of mortgage guaranty insurance by AIG's United Guaranty subsidiaries to Bank of America and Countrywide.
• JPMorgan and FDIC have filed their motions for summary judgement in the Washington Mutual rep and warranty lawsuit. The replies to the motions are due by 5 September, after which the judge's order is due.
• ISDA has published its recommendation for FpML version 5.7. Among the latest enhancements made to the FpML standard is coverage of package transactions. Version 5.7 also electronically represents the Standardised Credit Support Annex (SCSA) document and supports the ISDA 2014 Credit Derivatives Definitions.
Deals added to the SCI New Issuance database last week:
Adams Mill CLO; Alamo Re 2014-1; Ally Master Owner Trust Series 2014-4; American Express Credit Account Master Trust 2014-2; AMMC CLO XIV; Apidos CLO XVIII; Ares European CLO VII; ARL Second; Avery Point V CLO; BAMLL 2014-IP; Bavarian Sky Compartment German Auto Loan 2; Berica ABS 3; BPL Mortgages series VII; Cabela's Credit Card Master Note Trust 2014-II; Carismi Finance ABS; Carlyle Global Market Strategies CLO 2012-2 (refinancing); CG-CCRE 2014-FL1; CLI Funding V Series 2014-1; Covenant Credit Partners CLO I; Cutwater 2014-I; CVP Cascade CLO-2; DECO 2014-Gondola; Dryden 32 Euro CLO 2014; Dryden XXIII Senior Loan Fund (refinancing); Eaton Vance CLO 2014-1; E-Carat Compartment 7; Edsouth Indenture No. 7 2014-3 Series; FirstMac Mortgage Funding Trust No. 4 Series 1A-2014; Flexi ABS Trust 2014-1; Ford Credit Auto Owner Trust 2014-B; FTA RMBS Santander 1; FTA RMBS Santander 2; Golub Capital Partners CLO 10 (refinancing); Gramercy Park CLO (refinancing); Guerriero SPV; Hyundai Auto Lease Securitization Trust 2014-B; JFIN CLO 2014-II; Madison Park Funding VIII (refinancing); Madison Park Funding XIV; Magnetite IX; Mercedes-Benz Auto Receivables Trust 2014-1; MidOcean Credit CLO III; Monviso 2014; Neuberger Berman CLO XVII; Octagon Investment Partners XX; OZLM VII; Paragon Mortgages 20; Peaks CLO 1; Phoenix Park CLO; Precise Mortgage Funding 2014-1; Progreso Receivables Funding II series 2014-A; PUMA Series 2014-2; Rural Hipotecario XXVII; SC Poland Auto 2014-1; Shackleton 2014-VI CLO; Sierra Timeshare 2014-2 Receivables Funding; Silver Creek CLO; SoFi Professional Loan Program 2014-A; Sunrise Series 2014-1; Taurus CMBS UK 2014-1; Tralee CLO III; Trinitas CLO II; Voya CLO 2014-3; West CLO 2014-1; WhiteHorse IX.
Deals added to the SCI CMBS Loan Events database last week:
BACM 2004-5; BACM 2004-6; BACM 2006-2; BACM 2006-3; BACM 2006-4; BACM 2006-5; BACM 2006-6; BACM 2007-1; BACM 2007-3; BACM 2008-1; BRUNT 2007-1; BSCMS 2006-PW13; BSCMS 2007-PW16; Canary Wharf Finance II; CCIC 2006-WEM; CD 2006-CD2; CD 2006-CD3; CGCMT 2006-C5; CGCMT 2007-C6; CMAT 1999-C1; COMM 2012-CR1; COMM 2012-CR3; CSCMT 2007-C3; CSFB 2005-C3; CSMC 2006-C3; CSMC 2006-C4; CSMC 2007-C5; CTCDO 2005-1 & BACM 2005-3; DECO 2005-C1; DECO 2005-E1; DECO 2006-E4; DECO 2007-C4; DECO 2007-E5; DECO 7-E2; ECLIP 2006-1; ECLIP 2006-3; ECLIP 2006-4; ECLIP 2007-1; ECLIP 2007-2; EMC VI; EPC 3; EURO 28; FOX 1; GCCFC 2005-GG3; GCCFC 2005-GG5; GCCFC 2006-GG7; GCCFC 2007-GG11; GCCFC 2007-GG9; GECMC 2006-C1 & GMACC 2006-C1; GSMS 2005-GG4; GSMS 2005-GG4 & GCCFC 2005-GG5; GSMS 2006-GG8; GSMS 2007-GG10; GSMS 2013-KYO; IMSER 2; JPMCC 1998-C6; JPMCC 2003-C1; JPMCC 2004-LN2; JPMCC 2005-CB12; JPMCC 2005-CIBC13; JPMCC 2006-CB16; JPMCC 2007-CB19; JPMCC 2007-CIBC20; JPMCC 2007-LDPX; JPMCC 2011-C5; JPMCC 2012-CIBX; JPMCC 2013-FL3; JPMCC 2013-INN; JPMCC 2013-LC11; JPMCC 2014-FL4; LBUBS 2006-C4; LBUBS 2007-C6; LBUBS 2008-C1; LEMES 2006-1; MALLF 1; MLCFC 2007-5; MLCFC 2007-9; MLMT 2005-MKB2; MLMT 2007-C1; MSBAM 2013-C7; MSC 2007-IQ14; OPERA GER2; PCMT 2003-PWR1; Portfolio Green; PROUD 1; TAURS 2006-2; TAURS 2007-1; THEAT 2007-1 & THEAT 2007-2; TIAAS 2007-C4; TITN 2007-1; TITN 2007-2; TITN 2007-3; TITN 2007-CT1; TMAN 6; TMAN 7; WBCMT 2006-C28; WINDM X.