A look at the major activity in structured finance over the past seven days
Pipeline
A raft of US CMBS deals joined the pipeline last week, accounting for over half of all newly-announced transactions. Four ABS and two CLOs also began marketing.
The newly-announced ABS consisted of US$1.028bn Chrysler Capital Auto Receivables Trust 2014-B, US$850m PILOT 2014-1, US$2.62bn SpringCastle Funding 2014-A and US$215m Westgate Resorts 2014-1. The CLOs, meanwhile, were €927.4m Atlantes SME No. 4 and US$400m LCM XVII.
Finally, the CMBS joining the pipeline comprised: US$1.1bn GSMS 2014-GC24; US$1.162bn JPMBB 2014-C23; US$516.7m JPMCC 2014-FL5; US$1bn MSBAM 2014-C18; US$525m MSC 2014-150E; US$473m Progress Residential 2014-SFR1; and US$191.8m Velocity Commercial Capital 2014-1.
Pricings
It was a busy week in terms of pricings. As well as 12 ABS, one ILS, four RMBS, four CMBS and three CLOs printed.
The ABS new issues were: US$1.1bn BA Credit Card Trust 2014-3; US$650m CCCIT 2014-A7; US$273m CPS Auto Receivables Trust 2014-C; US$750m Dryrock Issuance Trust Series 2014-3; £480m E-CARAT 4; US$589.1m GE Equipment Midticket Series 2014-1; US$709m GMALT 2014-2; €1.3bn UCL Locat SV - 2014 Series; US$646.7m PHEAA Student Loan Trust 2014-3; US$1.35bn Santander Drive Auto Receivables Trust 2014-4; A$950m Series 2014-1 REDS EHP Trust; and US$734m World Omni Automobile Lease Securitization Trust 2014-A.
US$150m Golden State Re II was the only ILS to print during the week and was joined by the £150m Cambridgeshire Housing Capital 2014, A$700m Firstmac Mortgage Funding Trust No.4 Series 2-2014, US$329.95m Sequoia Mortgage Trust 2014-3 and US$770m STACR 2014-HQ2 RMBS. US$513m American Homes 4 Rent 2014-SFR2, US$1.4bn COMM 2014-UBS5, US$1.33bn FREMF 2014-K39 and US$1.5bn WFRBS 2014-C22 accounted for the CMBS pricings. Finally, US$461.1m Battalion CLO VI, US$625m Halcyon Loan Advisors Funding 2014-3 and US$334m ZAIS CLO 2 were issued.
Markets
The US non-agency RMBS market has experienced a busy couple of weeks in both primary and secondary. "The Street was busy with multiple BWICs, including a US$1.5bn BWIC from Freddie Mac. Prices remained firm on the week," Wells Fargo RMBS analysts note.
In US ABS Tuesday's session included a number of aircraft ABS bonds, alongside the more common student loan and credit card names, as SCI reported on 10 September. Included among those tranches was ACST 2007-1A G1, which SCI's PriceABS data shows was talked in the mid/high-90s and covered at 98.
In the US CLO space, BWIC volumes exceeded US$1bn, according to Bank of America Merrill Lynch CLO analysts. Over US$800m came from 2.0 and 3.0 senior triple-As.
"US CLO 1.0 continued to trade well. Overall, 2.0 US spreads widened out modestly by 10bp at the double-B level," they add.
Meanwhile, the BAML analysts note that European CLO spreads tightened meaningfully across the capital structure. Shorter-duration triple-A 1.0 paper tightened by around 15bp. Mezzanine bonds also tightened, with single-A and triple-B bond spreads moving in by around 20bp-25bp.
European ABS spreads also tightened during the week, report JPMorgan ABS analysts. This is attributed to the positive impetus from the ECB's purchase programme announcement.
"Generic Spanish senior spreads end the week at 110bp, a level last seen in August 2008, while the equivalent level of Italian senior bonds requires investors to cast their minds back even earlier to February that year," they observe.
Deal news
• US CMBS credit metrics continue to slip, but are seemingly yet to give investors pause. Nevertheless, while the positive reception for WFRBS 2014-C22 last week marked a departure from recent pricing weakness in the sector, caution remains regarding the intermediate direction of new issue spreads.
• A court decision last week in favour of Trapeza Capital Management is positive for holders of Trups CDOs. The court ruled against dismissing the Chapter 7 involuntary bankruptcy Trapeza filed against FMB Bancshares in June, as requested by the bank.
• The US$425m Four Seasons Resort Maui loan, securitised in GECMC 2007-C1 and CD 2007-CD4, has paid off in full. The loan was modified with a US$350m/US$75m A/B note split in 2011 (see SCI's CMBS loan events database).
• Orico is in the market with a cross-border Japanese prime retail installment auto loan ABS. OSCAR US 2014-1 will issue US dollar-denominated notes, but is secured by Yen-denominated receivables.
• CR Investment Management has sold a further ten properties located across Germany from the Sanchez Portfolio, resulting in approximately €55m of sales proceeds. Many of the properties are located in non-prime locations and had a number of technical complexities associated with them, such as fire protection issues, 100% vacancy and part-ownership structures.
• S&P has maintained its double-B minus (with negative implications) ratings on the Punch Taverns Finance A class A1(R) and A2(R) notes, while lowering the ratings on the class M1, M2(N), B1, B2, B3, C(R) and D1 notes (credit watch negative). The agency has also lowered to triple-C (credit watch negative) from single-B plus its ratings on the Punch Taverns Finance B class A3 and A6 notes, while the class A7 and A8 notes have been lowered to single-B.
• An auction will be conducted for the Bluegrass ABS CDO II on 27 September. The collateral shall only be sold if the proceeds are at least equal to the redemption amount.
Regulatory update
• The ECB is expected to allocate national targets for ABS purchases based on its capital key percentages. The central bank may have to buy bonds at off-market prices to ensure the success of its purchase programme, however.
Deals added to the SCI New Issuance database last week:
Atlas Senior Loan Fund VI; AYR Issuer; Bilkreditt 6; BlueMountain CLO 2014-3; California Republic Auto Receivables Trust 2014-3; Capital Auto Receivables Asset Trust 2014-3; Capital One Multi-asset Execution Trust 2014-4; CSMC Trust 2014-WIN1; Driver UK Two; Dryden XXVII Euro CLO 2013 (tap); ECP CLO 2014-6; Gosforth Funding 2014-1; JMP Credit Advisors CLO III; John Deere Owner Trust 2014-B; Mountain View CLO 2014-1; Octagon Loan Funding; Pangaea Funding I; PUMA Series 2014-4P; Silver Arrow Compartment 5; Venture XVIII CLO; WFRBS 2014-C22.
Deals added to the SCI CMBS Loan Events database last week:
BACM 2004-6; BACM 2005-1; BACM 2007-1 & JPMCC 2007-LDPX; BACM 2008-1; BSCMS 2005-PW10; CGCMT 2007-C6; COMM 2006-C8; COMM 2013-CCRE11; CSFB 2005-C3; DBUBS 2011-LC1; DECO 2007-C4; DECO 2007-E5; DECO 2007-E6; ECLIP 2006-3; ECLIP 2007-1; EURO 28; FLORE 2012-1; GECMC 2007-C1 & CD 2007-CD4; GSMS 2005-GG4; GSMS 2006-GG8; JPMCC 2003-CB6; JPMCC 2005-CB13; JPMCC 2010-C1; JPMCC 2010-C2; JPMCC 2012-C6; MODA 2014-1; MSBAM 2012-C5; MSC 2007-HQ13; OPERA GER2; TIASS 2007-C4; TITN 2006-3; TITN 2007-1; TITN 2007-CT1; WBCMT 2005-C17; WFRBS 2012-C8; WFRBS 2013-C15; WINDM XIV.