A look at the major activity in structured finance over the past seven days
Pipeline
The pace of deals joining the pipeline slowed last week. Two new ABS were announced, as well as one RMBS, one CMBS and two CLOs.
The ABS were €678m Cars Alliance Auto Loans France V 2014-1 and US$240m MVW Owner Trust 2014-1. The RMBS was US$483.562m JPMMT 2014-IVR3.
US$570m BLCP Hotel Trust 2014-CLRN was the sole CMBS to begin marketing. The CLOs were US$350m BNPP IP CLO 2014-II and US$586m Fortress Credit Opportunities V CLO.
Pricings
The pace of deals departing the pipeline also slowed last week. Two ABS printed, as well as three RMBS, one CMBS and four CLOs.
The ABS new issues comprised C$500m Glacier Credit Card Trust Series 2014-1 and €1.032bn VCL Multi-Compartment 20. Meanwhile, US$365.7m Agate Bay Mortgage Trust 2014-2, N$150m RESIMAC Versailles Trust Series 2014-1 and €1.2bn STORM 2014-III accounted for the RMBS.
The CMBS print was US$1.4bn CSMC 2014-USA. Finally, the €450m Carlyle Global Market Strategies Euro CLO 2014-3, €567m Jubilee CLO 2014-XIV, US$763m Octagon XXI and €517m Sorrento Park CLO deals rounded out the new issuance.
Markets
It was a strong end to the week for European RMBS, with SCI's PriceABS data capturing a long list of bonds out for the bid on Thursday (SCI 26 September). Many of the tranches included on BWICs were covered during the session.
Activity in the US RMBS market was limited as a result of IMN's ABS East conference, however. Wells Fargo analysts note that non-agency activity was particularly slow.
"Weekly trade volume was US$3.4bn and BWIC volume was slightly less than a billion," they note.
The US ABS market picked up when ABS East finished and BWIC volume reached close to US$500m for Wednesday's session (SCI 25 September). PriceABS picked up a range of auto, credit card, student loan, container and franchise names out for the bid in that session.
In addition, the US CMBS secondary market was busier. "An above-average share of about 40% of bid-lists was driven by CMBS 3.0, including a large 2012 triple-B minus list," Barclays Capital analysts observe. "The selling may have been partially to blame for the widening in spreads this week, in addition to the weak macro environment."
Meanwhile, activity in the US CLO space slowed, with BWIC volumes reaching only around US$88m - split between 1.0 and 2.0 deals. "All the legacy volume was originally rated triple-A, but none of the 2.0 volume was. Many of the themes remain the same and we continue to see strong demand and bids for legacy paper. Mezzanine trading in the 2.0/3.0 space remains choppy," say Bank of America Merrill Lynch analysts.
Deal news
• Assuming noteholder approval is granted, the proposed restructuring of the Aire Valley RMBS master trust (SCI 23 September) should be broadly positive for bondholders. Investors are expected to benefit from a cleaner pool of collateral, higher levels of subordination and potentially higher ratings. With longer-dated IO collateral targeted for repurchase, alongside exposures to higher LTV borrowers, a degree of WAL contraction could also emerge.
• S&P has placed its single-B minus rating on MultiCat Mexico series 2012-I class C notes on credit watch with negative implications, reflecting the fact that a trigger event may have occurred with respect to the catastrophe bond. The class C notes cover losses in Cabo San Lucas in Mexico, near which Hurricane Odile made landfall on 15 September.
• African Risk Capacity (ARC) has unveiled the Extreme Climate Facility (XCF), a multi-year funding mechanism that will issue climate change catastrophe bonds. The bonds - which are expected to be issued in 2016 - will provide additional financing to participating countries to enhance their climate adaptation investments, in the event that weather shocks increase in occurrence and intensity across the African continent.
• Auction.com and Real Capital Markets are listing US$700m in US CMBS loan sales from late September through early November. The auctions are said to consist primarily of smaller properties, securing 100 loans across 73 transactions.
• Seven US CMBS loans are believed to have exposure to the recent closure of various Sears and Kmart stores. The affected properties include two anchor stores in CMBS 2.0/3.0 malls. The US$49m Towne West Square Mall in MSC 2011-C2 may be most affected by the closing.
Regulatory update
• ISDA and Markit have launched the ISDA Canadian Representation Letter on ISDA Amend. The move is in response to Rule 91-507, published by the Ontario Securities Commission (OSC), the Manitoba Securities Commission (MSC) and the Autorité des Marchés Financiers (AMF), which requires reporting counterparties to report certain derivatives data to designated or recognised trade repositories with respect to transactions involving local counterparties.
Upcoming SCI events
• 2 October - Live Webinar: What's Next in European RMBS?
Complimentary registration here
• 29 October, New York - SCI's 7th Annual Securitisation Pricing, Trading & Risk Seminar
Click here for more details
Deals added to the SCI New Issuance database last week:
ACAS CLO 2012-1 (refinancing); Ally Auto Receivables Trust 2014-2; American Express Credit Account Master Trust series 2014-3; American Homes 4 Rent 2014-SFR2; Atlantes SME 4; BA Credit Card Trust 2014-3; Barclays Dryrock Issuance Trust 2014-3; Battalion CLO VI; CarNow Auto Receivables Trust 2014-1; Cedar Funding IV CLO; Cent CLO 16 (refinancing); Chrysler Capital Auto Receivables Trust 2014-B; Citibank Credit Card Issuance Trust 2014-A7; Citibank Credit Card Issuance Trust 2014-A8; COMM 2014-UBS5; CPS Auto Receivables Trust 2014-C; Credit Acceptance Auto Loan Trust 2014-2; E-Carat 4; Firstmac Mortgage Funding Trust No.4 Series 2-2014; FREMF 2014-K39; GE Equipment Midticket Series 2014-1; GM Financial Automobile Leasing Trust 2014-2; Golden State Re II series 2014-1; GSMS 2014-GC24; Halcyon Loan Advisors Funding 2014-3; Highbridge Loan Management 2012-1 (refinancing); LCM XVII; Newhaven CLO; PHEAA Student Loan Trust 2014-3; Porsche Innovative Lease Trust 2014-1; Santander Drive Auto Receivables Trust 2014-4; SC Germany Auto 2014-2 UG; Sequoia Mortgage Trust 2014-3; Series 2014-1 REDS EHP Trust; SpringCastle Funding Asset-Backed Notes 2014-A; Symphony CLO VIII (refinancing); Thacher Park CLO; Turbo Finance 5; UCL Locat SV - 2014 Series; Westgate Resorts 2014-1; World Omni Automobile Lease Securitization Trust 2014-A; ZAIS CLO 2.
Deals added to the SCI CMBS Loan Events database last week:
BACM 2002-PB2; BACM 2004-4 & MLMT 2004-BPC1; BACM 2006-1; BACM 2007-1; BALL 2005-MIB1; BSCMS 2003-PWR2; BSCMS 2003-T10; BSCMS 2005-PW10; BSCMS 2005-PWR7; BSCMS 2006-PW11; BSCMS 2007-PW15; BSCMS 2007-PW17; CD 2005-CD1; CD 2006-CD3; CGCMT 2006-C5; CGCMT 2013-GC15; CMLT 2008-LS1, CGCMT 2007-C6 & MLMT 2007-C1; COMM 2004-LB4; COMM 2006-C7; COMM 2010-C1 & WFRBS 2014-LC14; COMM 2012-CCRE4; COMM 2012-CR5; COMM 2012-LC4; COMM 2013-CR8 & COMM 2013-CR9; CSFB 2003-C5; CSMC 2006-C4; CSMC 2006-C5; CSMC 2007-C5; DECO 2007-E5; DECO 2007-E7; DECO 6-UK2; ECLIP 2006-3; ECLIP 2007-2; EPICP DRUM; FLORE 2012-1; FREMF 2011-K12; GCCFC 2005-GG3; GCCFC 2005-GG5; GCCFC 2007-GG9; GECMC 2005-C2; GMACC 2004-C2; GSMS 2007-GG10; GSMS 2010-C1; GSMS 2011-GC3; GSMS 2011-GC5; IMSER 2; JPMCC 2005-CB13; JPMCC 2005-LDP5; JPMCC 2006-CB14; JPMCC 2006-CB17; JPMCC 2006-LDP9; JPMCC 2007-CB20; JPMCC 2014-FL4; LBCMT 2007-C3; LBUBS 2004-C6; LBUBS 2005-C1; LBUBS 2006-C1; LBUBS 2006-C6; MESDG CHAR; MLCFC 2006-1; MLCFC 2007-9; MLMT 2004-BPC1; MLMT 2005-LC1; MLMT 2005-MCP1; MLMT 2006-C2; MSBAM 2013-C11 & MSBAM 2013-C12; MSC 2004-HQ4; MSC 2005-T17; MSC 2006-HQ9; MSC 2006-IQ11; MSC 2007-HQ13; MSC 2007-IQ14; MSC 2007-T27; MSC 2011-C1; MSC 2011-C2; MSC 2011-C3; MSC 2012-C4; OPERA GER2; Schooner 2007-8; TITN 2006-1; TITN 2006-3; TMAN 7; WBCMT 2004-C15; WBCMT 2005-C16; WBCMT 2005-C22; WBCMT 2007-C32; WFRBS 2012-C10; WFRBS 2013-C11; WFRBS 2013-C14; WFRBS 2013-C18, WFRBS 2013-UBS1 & WFRBS 2014-LC14; WINDM VII; WINDM X.