A look at the major activity in structured finance over the past seven days
Pipeline
It was another busy week for deals joining the pipeline. Seven ABS, four RMBS, six CMBS and three CLOs remained by Friday.
The newly-announced ABS comprised: US$1bn CarMax Auto Owner Trust 2014-3; US$800.2m Enterprise Fleet Financing Series 2014-2; US$95m NYCTL 2014-A; US$148.76m Orange Lake Timeshare Trust 2014-A; NZ$283.25m Q Card Trust; US$382m SMB Private Education Loan Trust 2014-A; and US$253.55m Susquehanna Auto Receivables Trust 2014-1. The RMBS consisted of US$259.637m Agate Bay Mortgage Trust 2014-1, US$720m Invitation Homes 2014-SFR2, US$672m STACR 2014-DN3 and US$460m STACR 2014-HQ1.
CMBS that entered the pipeline consisted of: US$367.8m ACRE Commercial Mortgage 2014-FL2; US$675m BAMLL 2014-520M; US$441m COMM 2014-FL4; US$542.8m GSMS 2014-GSFL; US$799m JPMBB 2014-C22; and £750m STRAT 2014. The CLOs were US$411.75m Black Diamond CLO 2014-1, US$626.5m CIFC Funding 2014-IV and US$618.2m Venture XVIII.
Pricings
Several deals also priced last week. The prints included five ABS, four RMBS, two CMBS and four CLOs.
The ABS new issues comprised: US$200m ACAR 2014-3; US$230.5m CarFinance Capital Auto Trust 2014-2; US$1.2bn Discover Card Execution Note Trust 2014-4; US$243.85m Louisiana LCDA System Restoration Bonds Series 2014-ELL; and US$573.3m Nelnet Student Loan Trust 2014-6.
The RMBS pricings were: US$353m CSMC Trust 2014-IVR3; €525m Fanes 2014-1-A; US$312.7m Silver Bay Realty 2014-1; and £307m Thrones 2014 No.1. As for the CMBS prints, those were US$1.037bn MSBAM 2014-C17 and US$386.342m VFC Series 2014-2.
Lastly, US$563m ALM XI, US$1.25bn Ares XXXI, US$615.55m Birchwood Park CLO and US$816m Carlyle Global Market Strategies CLO 2014-3 were issued.
Markets
After a slow start to the week, US ABS activity picked up on Wednesday, as SCI reported on 31 July. BWIC volume for the session was US$184m, with a number of auto and student loan names as well as credit card, container and consumer loan ABS paper out for the bid.
The tone in the US non-agency RMBS market was a little weaker last week, according to RMBS analysts at Bank of America Merrill Lynch, "as the sell-off in the broader markets bled into non-agencies". US$611m of investment grade bonds and US$6.9bn of non-investment grade bonds traded through Thursday, with the Street net longer by about US$840m.
Spread widening was observed in the US CMBS market, with Barclays Capital analysts noting that this was particularly noticeable on Thursday. 2014 LCF bonds widened by 3bp to swaps plus 77bp, while 2014 triple-B minus tranches widened by 8bp to swaps plus 298bp.
"Vintage spreads also leaked wider, with 2007 dupers up 1bp, to swaps plus 81bp, and 2007 AJs gapping out 23bp, to swaps plus 427bp," they add.
There was a busy session on Tuesday for the US CLO market, as 62 unique US CLO tranches appeared in SCI's PriceABS data. This comprised names from the length of the capital stack, with examples including INGIM 2014-1A A1 and BLACK 2005-1A D1.
Deal news
• Fannie Mae printed its US$2.05bn CAS Series 2014-C03 deal earlier this month, with structural innovations that may increase risk. While the market perception is that GSE credit risk transfer RMBS are very safe, concern is emerging regarding transparency around losses.
• Senior Lusitano RMBS bonds have cheapened by 0.5-2.5 points since Espirito Santo International failed to pay on its commercial paper liabilities last month. The dip has created a buying opportunity, with the caveat that the absence of back-up servicers in LUSI transactions could lead to servicing disruptions in the event of a BES bankruptcy.
• The US$3.7m Green Meadows Apartment loan - securitised in FREMF 2010-K6 - has been liquidated at a realised loss to the trust of US$374,943, representing a loss severity of approximately 10% (see SCI's CMBS loan events database). This is believed to be the first loan securitised across any FREMF CMBS to realise a loss.
• Freddie Mac priced what is believed to be a first-of-a-kind CMBS last month. The US$393m FREMF 2014-KX01 comprised 20 loans that were removed from previous securitisation pools by Freddie Mac or at the request of a B-piece buyer.
• Postal Savings Bank of China has launched a CNY6.8bn RMBS, the first Chinese RMBS since 2007. The move is designed to facilitate central government support for the faltering housing market, which saw sales drop by 9.2% during 1H14 and prices fall in 70 cities in June for the second straight month.
• Seaco's latest container deal - the US$500m Global SC Finance II series 2014-1 - is noteworthy not only for its size, but also for its structure. The transaction was upsized from US$400m before pricing, becoming the largest issuance seen in the sector since 2011.
• A pending court case could see the super senior certificate holders in MASTR Adjustable Rate Mortgages Trust 2007-3 receive larger payments than a strict reading of the payment waterfall would allow. The court case was filed last year to resolve a dispute between the super senior holders and Assured Guaranty Municipal Corp, which serves as the insurer of the senior support classes.
• Comenity Bank has corrected an error in the calculation and distribution of interest to WFNMT 2014-A class A noteholders for the June and July 2014 distribution dates. The calculation of interest should have been based on the actual number of days in the related interest period, but was incorrectly calculated on a 30/360 basis.
• Lighthouse Trade Finance Issuer I is to be redeemed on 18 August at the request of the originator BNP Paribas. The move comes almost a year after the transaction was completed (SCI 22 August 2013).
• With the ABI special committee now supporting the latest Punch restructuring proposal (SCI 22 July), it now appears likely that the restructuring could be completed within the next six months. The Punch B securitisation is said to offer the most upside under this scenario, given that the Punch A class B notes have more value as currently structured.
• S&P has affirmed its single-B rating on the series 2013-I class A notes issued by Everglades Re. The move follows the lowering of the catastrophe bond's attachment level to US$4.896bn and the resetting of the probability of attachment to 2.75%.
• Dock Street Capital Management has replaced Fortis Investment Management as collateral manager to Orient Point CDO II. Moody's confirms that move will not impact any ratings on the deal.
• An auction has been scheduled for Margate Funding I on 19 August. The securities shall only be sold if the proceeds are greater than or equal to the auction call redemption amount.
Regulatory update
• A group of twelve US Senators has sent a letter to SEC Chair Mary Jo White, pushing for the agency to finish four overdue reforms. The letter expresses concern about the slow pace of progress in putting "critical investor and systemic risk protections" related to securitisation in place, as set out in the Dodd-Frank Act.
• ASIC is seeking feedback on proposed revisions to the rules that require the mandatory trade reporting of OTC derivatives. The proposals aim to ensure a smooth transition to the reporting regime and follow a recent revision by ASIC of the timetable for Phase 3 reporting entities (financial entities holding less than US$50bn in OTC derivatives outstanding) to start reporting OTC derivative transactions to trade repositories.
Deals added to the SCI New Issuance database last week:
A10 Term Asset Financing 2014-1; American Credit Acceptance Receivables Trust 2014-3; CarFinance Capital Auto Trust 2014-2; Citibank Credit Card Issuance Trust 2014-A6; COMM 2014-UBS4; CVS Series 2014 Trust; Drug Royalty II LP 1 series 2014-1; Ford Credit Auto Lease 2014-B; Ford Credit Floorplan Master Owner Trust A 2014-3; German Mittelstand Equipment Finance Compartment 2; HLTN 2014-ORL; Hollis Receivables Term Trust II series 2014-1; Institutional Mortgage Securities Canada Inc Series 2014-5; MTF Valiant Trust 2014; OneMain Financial Issuance Trust 2014-2; Resource Capital Corp 2014-CRE2; SMHL Series Securitisation Fund 2014-1; SolarCity Series III 2014-2; Think Tank series 2014-1 Trust; WFRBS 2014-C21.
Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-2; BACM 2005-6; CANWA II; CD 2007-CD4 & GECMC 2007-C1; CMLT 2008-LS1; CWCI 2007-C3; DECO 2005-E1; DECO 2006-C3; DECO 2007-E6; DECO 7-E2; DECO 9-E3; ECLIP 2007-1; EMC VI; EPIC DRUM; EURO 28; FREMF 2010-K6; GSMS 2011-GC5; JPMCC 2006-CB15; LBUBS 2007-C1; MESDG CHAR; OPERA GER2; TITN 2005-CT2; TITN 2006-2; TITN 2007-1; TMAN 7; WBCMT 2007-C31; WFCM 2013-LC12; WINDM XIV.