A look at the major activity in structured finance over the past seven days
Pipeline
The pace of deals joining the pipeline slowed down last week. There were four ABS, two RMBS and four CMBS added.
The ABS were US$1.4bn Applebee's Funding/IHOP Funding Series 2014-1, US$275m Miramax Series 2014-1, US$501m South Carolina Student Loan Corporation (1996 Indenture) 2014 Series and US$1bn Volkswagen Credit Auto Owner Master Trust Series 2014-1.
The RMBS were US$342.67m ARP 2014-SFR1 and US$256.5m Morgan Stanley Residential Mortgage Loan Trust 2014-1. As for the CMBS, those consisted of US$1bn BHMS 2014-ATLS, US$750m COMM 2014-277P, US$1.2bn COMM 2014-CCRE19 and US$350m WFLD 2014-MONT.
Pricings
It was a much busier week for deals pricing from the pipeline. There were 14 ABS, four RMBS, three CMBS and 13 CLO prints.
The ABS were: US$1bn CarMax Auto Owner Trust 2014-3; US$207m Cronos Containers Program I Series 2014-1; US$950.2m Enterprise Fleet Financing Series 2014-2; US$225m First Investors Auto Owner Trust 2014-2; US$263m Navient Student Loan Trust 2014-2; US$263m Navient Student Loan Trust 2014-3; US$263.4m Navient Student Loan Trust 2014-4; US$158.3m Navient Student Loan Trust 2014-5; US$158.3m Navient Student Loan Trust 2014-6; US$158m Navient Student Loan Trust 2014-7; Y12bn KAL Japan ABS 13 Cayman; US$95m NYCTL 2014-A; US$148.76m Orange Lake Timeshare Trust 2014-A; and US$382m SMB Private Education Loan Trust 2014-A.
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 accounted for the RMBS. The CMBS were US$267.8m ACRE Commercial Mortgage 2014-FL2, US$542.8m GSMS 2014-GSFL and US$799m JPMBB 2014-C22.
Lastly, the CLOs were: US$366m Atrium CDO Corp 2014-7; €415m Avoca CLO XII; US$626.5m CIFC Funding 2014-IV; US$518m KKR CLO 9; US$618m Northwoods Capital XII; US$708m Oaktree EIF II Series A1; US$415m OFSI Fund VII; US$622m OZLM VIII; €343.15m Popolare Bari 2014; US$413m Silver Spring CLO; €361.4m St Paul's CLO V; US$643m THL Credit Wind River 2014-2; and US$618.2m Venture XVIII.
Markets
There were a couple of busy sessions for the US CMBS market last week, including on Thursday, as SCI reported (SCI 8 August). BWIC volume for that session was around US$478m and the day's bid-lists included paper which was issued as recently as last month.
The legacy US non-agency RMBS market saw weakness in pricing for the first time since mid-2013, report Wells Fargo analysts, as lower-rated paper was half a point or a point lower over the week. "STACR and CAS paper continued to have pricing volatility, with the triple-B rated and non-rated classes widening on average about 45bp over the week," they add.
There European RMBS market was also active, with SCI's PriceABS data capturing more than 60 unique European RMBS bonds out for the bid on Tuesday (SCI 6 August). Covers were recorded for tranches across the length of the capital structure, including FEMO 1 A1 and HERME 11 D.
BWIC volume in the European CLO market was more limited at around €65m, according to Bank of America Merrill Lynch analysts, with most of those bonds coming from higher up the capital structure. "Given the limited supply, particularly of lower mezzanine bonds in recent days, and the typically delayed response of the CLO market to broader fixed income trends, we expect to see some spread softening going forward as more mezzanine supply comes to market," they say.
Deal news
• Hatfield Philips International has successfully implemented a workout strategy and restructuring of the €225m Apple loan, securitised in the Talisman 6 Finance CMBS. As part of the restructuring, the parent companies of the borrowers consensually agreed to transfer their shares in the borrowers to two newly-founded independent Irish holding companies.
• Fitch says that it does not expect any immediate performance or rating impact on the IM Citi Tarjetas 1 credit card ABS, following Citibank Espana's exit of the Spanish credit card market. Citibank Espana is asset servicer for the securitisation.
• Fitch has downgraded Roof Russia DPR Finance Company to triple-B plus from single-A minus, outlook negative. The rating action comes after the downgrade of originator ZAO Raiffeisenbank (RBRU), following the revision of Russia's country ceiling to triple-B from triple-B plus.
• S&P has lowered to D (default) from double-C its rating on the US$150m Queen Street III Capital catastrophe bond, sponsored by Munich Re. The transaction covered losses due to major European windstorms between July 2011 and July 2014.
• An auction has been scheduled for RFC CDO II on 29 August. The securities shall only be sold if the proceeds are greater than or equal to the auction call redemption amount.
Regulatory update
• Mario Draghi, president of the ECB, disclosed in a press briefing following last week's Governing Council meeting that the bank is set to hire a consultant to help it design its ABS QE programme. He said that the ECB has intensified its preparations in connection with the securitisation market, with various committees of the bank involved in these efforts.
• The US Department of Justice has issued a subpoena to General Motors Financial Company, directing the firm to produce certain documents relating to its origination and securitisation of subprime auto loans since 2007. The move is in connection with a DOJ investigation in contemplation of a civil proceeding for potential violations of the Financial Institutions Reform, Recovery and Enforcement Act of 1989 (FIRREA).
• Moody's reports that while Basel 3 implementation is proceeding globally, notable differences are evident between jurisdictions in a number of areas, including pace, the degrees of strictness relative to Basel Committee guidance and the resulting challenges that banks face. The agency suggests that some of the weaknesses associated with Basel 2 have not been sufficiently addressed and that it is too soon to say whether the industry has so far achieved fundamentally stronger creditworthiness as a result of Basel 3.
• The New York Fed has launched a Mortgage Operations Counterparty (MOC) Pilot Program for counterparties in agency MBS operations. The objective of the programme is to explore ways to broaden access to open market operations and gain further experience in dealing with a wider range of firms.
• SFIG has published the first edition of its RMBS 3.0 Green Paper series, a series of papers aimed at restoring confidence in the private label RMBS market. The papers are a product of SFIG's RMBS 3.0 initiative - a broad industry-supported endeavour designed to develop proposed standards and reduce substantive differences within current market practices.
• A US federal judge has ordered Bank of America to pay US$1.27bn for Countrywide's role in the sale of risky mortgages to the GSEs during the financial crisis. The loans were sold through a programme known as 'the hustle' from August 2007 to May 2008, for which the bank was found liable for fraud last year (SCI 28 October 2013).
• IOSCO has established an information repository for OTC derivatives central clearing requirements. The aim is to provide regulators and market participants with consolidated information on the clearing requirements of different jurisdictions.
Deals added to the SCI New Issuance database last week:
Agate Bay Mortgage Trust 2014-1; ALM XI; Alterna Funding I 2014-1; Ares XXXI CLO; Birchwood Park CLO ; Carlyle Global Market Strategies CLO 2014-3; CIFC Funding 2012-1; CSMC Trust 2014-IVR3; Discover Card Execution Note Trust 2014-4; Driver China One Trust; Dryden 34 Senior Loan Fund; Fanes series 2014-1; Global SC Finance II series 2014-1; Highbridge Loan Management 4-2014; HOA Funding 2014-1; ICG US CLO 2014-2; JFIN Revolver CLO 2014; JPMCC 2014-DSTY; KAL Japan ABS 13 Cayman; Louisiana LCDA System Restoration Bonds Series 2014-EGSL; Louisiana LCDA System Restoration Bonds Series 2014-ELL; MSBAM 2014-C17; MSCI 2014-CPT; Nelder Grove CLO; Nelnet Student Loan Trust 2014-6; Saranac CLO III; Shackleton I-R CLO; Sound Point CLO VI; STACR Series 2014-DN3; STACR Series 2014-HQ1; State Board of Regents of the State of Utah series 2014-1; Steele Creek CLO 2014-1; Thrones 2014-1; United Auto Credit Securitization Trust 2014-1; VFC Series 2014-2.
Deals added to the SCI CMBS Loan Events database last week:
BACM 2000-2; BACM 2002-PB2; BACM 2004-6; BACM 2006-5; CD 2005-CD1; COMM 2006-C8; COMM 2006-C8, CD 2007-CD4 & GE 2007-C1; COMM 2013-CCRE10; COMM 2013-LC6 & COMM 2013-CR6; DECO 2006-E4; ECLIP 2006-2; EURO 28; GSMS 2004-GG2; JPMCC 2007-CB19; LBUBS 2007-C1; MLCFC 2007-9; MSC 2007-IQ16; RIVOL 2006-1; TITN 2006-5; TITN 2007-1; TMAN 7; WBCMT 2007-C33; WFRBS 2013-C15; WINDM XIV.