A look at the major activity in structured finance over the past seven days
Pipeline
Another fifteen deals joined the pipeline last week. They consisted of four ABS, one ILS, six RMBS, two CMBS and two CLOs.
The ABS were US$1bn AmeriCredit Automobile Receivables Trust 2014-4, US$556.3m Apollo Aviation Securitization Equity Trust 2014-1, US$200m Diamond Resorts Owner Trust 2014-1 and C$450m MBARC 2014-A. The ILS was US$350m Ursa Re 2014-1.
A$500m Avoca Series 2014-1, €98.11m ELIDE FCT Compartiment 2014-01, FCT Opera 2014, €7.5bn FTA RMBS Santander 3, US$402.8m JPMMT 2014-IVR6 and Precise Mortgage Funding 2014-2 accounted for the RMBS, while the CMBS were US$307.6m Colony 2014-FL2 and US$463.9m MSCI 2014-MP. Meanwhile the CLOs were US$410.79m ACAS CLO 2014-2 and €415m Castle Park.
Pricings
A long list of deals priced last week, led by 11 ABS. There were also four RMBS, three CMBS and five CLO prints.
The ABS were: US$1bn Ally Master Owner Trust Series 2014-5; US$710.63m Bank of the West Auto Trust 2014-1; €537m Bumper 6 (NL) Finance; US$1.2bn CarMax Auto Owner Trust 2014-4; US$1.3bn Chase Issuance Trust 2014-7; US$250m Cronos Containers Program I Series 2014-2; US$220m First Investors Auto Owner Trust 2014-3; US$150m Hawaii Green Energy Market Series 2014-A; US$433.33m NextGear Floorplan Master Owner Trust series 2014-1; US$303.2m SoFi Professional Loan Program 2014-B; and US$325m World Financial Network Credit Card Master Note Trust Series 2014-C.
US$350m Agate Bay Mortgage Trust 2014-3, US$562.1m Invitation Homes 2014-SFR3, £256m Paragon Mortgages No.21 and A$300m WB Trust 2014-1 accounted for the RMBS, while the CMBS were US$350m CSMC 2014-TIKI, £350m Intu (SGS) Finance 3 and US$1.01bn JPMBB 2014-C25. Lastly, the CLOs were: US$507m AMMC CLO XV; US$512m Carlyle Global Market Strategies 2014-5; US$525m Covenant Credit Partners CLO II; US$356m Golub Capital Partners CLO 21(M); and US$513m Ziggurat CLO.
Markets
Activity in the European RMBS and CMBS markets appears to be winding down, as SCI reported on Friday (SCI 7 November). One trader notes that clients are frequently blaming the ECB for the lack of activity, but suggests this may simply be a handy excuse.
"If you think that the ECB buying is going to happen then waiting until prices move will mean you are late to the party. That said, I think the larger issue here is that people have had a good year and they are seizing on this as an excuse because, now we are near year-end, they do not want to do much more," he says.
In the US non-agency RMBS market, a large US$941m BWIC on Tuesday significantly boosted supply in the secondary market (SCI 5 November). SCI's PriceABS data recorded a number of trades from the session as execution appears to have been strong, with covers recorded for several tranches, such as ABSHE 2003-HE3 M3, which was covered in the mid/high-80s.
US CMBS started the week strongly while other markets were quiet (SCI 4 November). BWIC volume on Monday was around US$150m, while a US$120m of legacy floater bonds came out on Tuesday.
US CLO secondary market activity was elevated last week, with BWIC volume of around US$830m. "Over US$500m of this week's volumes came from legacy deals and just over US$300mn of these had original ratings of triple-A in particular," note Bank of America Merrill Lynch analysts. "Overall, US secondary spreads remained unchanged over the week."
Deal news
• Jerrold Holdings has closed a restructuring of the £557.7m Charles Street Conduit Asset Backed Securitisation 1, believed to be the first publicly-rated warehouse securitisation since the financial crisis. Issuance of such transactions is expected to increase in the UK, particularly those sponsored by non-rated or low-rated lenders in relation to consumer and light commercial loans.
• A binding sale and purchase agreement has been executed in respect of the sale of all of the subsidiaries of the Titan Europe 2007-1 (NHP) borrower, through the sale of all of the shares of NHP Holdco 1 to a bid vehicle backed by Formation Capital. The move follows the special servicer's determination that implementing a sale of these subsidiaries is in accordance with the servicing standard.
• Dock Street Capital Management has replaced Dynamic Credit Partners as collateral manager to Monterey CDO. Under the terms of the agreement, Dock Street will assume all the responsibilities, duties and obligations of the collateral manager under the collateral management agreement.
• STMicroelectronics's five-year CDS have widened by 39% over the past month to trade at the widest levels observed in nearly two years, according to Fitch Solutions. The widening outpaced the broader European technology CDS index, which moved out by just 6% over the past month.
Regulatory update
• The Basel Committee has issued the final standard for the net stable funding ratio (NSFR), which requires banks to maintain a stable funding profile in relation to their on- and off-balance sheet activities, including unfunded credit and liquidity commitments in securitisations. The NSFR will become a minimum standard by 1 January 2018, with disclosure standards expected to be published for consultation around year-end.
• The Amsterdam Court of Appeal has ratified the framework agreement that sets out the compensation amount formula on due care claims of clients of the now bankrupt DSB Bank. Moody's says the move is credit positive for the securitisations originated by DSB as it removes some level of uncertainty around the amount of potential losses linked to due care compensation, as well as the length of the involvement of the bankruptcy trustees in servicing loans and handling due care claims.
• A federal judge has given final approval to a US$275m cash settlement in the MBS class action litigation against RBS and others led by New Jersey Carpenters Health Fund, Boilermaker Blacksmith Pension Trust, Iowa Public Employees' Retirement System and Midwest Operating Engineers Pension Trust Fund. Plaintiffs were represented by Cohen Milstein Sellers & Toll.
Deals added to the SCI New Issuance database last week:
ALME Loan Funding III; Anchorage Capital CLO 5; COMM 2014-CCRE20; JPMCC 2014-PHH; Koromo Compartment 2; Marathon CLO VII ; Navistar Financial Dealer Note Master Owner Trust II Series 2014-1; Private Driver 2014-4; Sapphire XIII series 2014-1; Sierra Timeshare 2014-3 Receivables Funding; STACR 2014-DN4; STACR 2014-HQ3; Telos CLO 2014-6 ; Tennenbaum Senior Loan Funding III; WB Trust 2014-1; WFRBS 2014-C24
Deals added to the SCI CMBS Loan Events database last week:
BACM 2004-4; BACM 2006-3; BACM 2007-5; BSCMS 2006-T22; CD 2006-CD2; CGCMT 2005-C3; CGCMT 2006-C5; COMM 2004-LB3A; COMM 2006-C8; CSFB 2005-C4; CWCI 2006-C1; DECO 2006-C3; DECO 2007-E5; DECO 2007-E7; DECO 8-C2; ECLIP 2007-1; GECMC 2002-1A; GECMC 2006-C1; GMACC 2001-C2; GSMS 2005-GG4; GSMS 2006-GG8; GSMS 2007-GG10; GSMS 2010-C1; GSMS 2012-GCJ7; JPMCC 2004-LN2; JPMCC 2006-CB14; JPMCC 2007-C1; JPMCC 2010-C1; MSBAM 2012-C6; MSC 2007-HQ12; TAURS 2006-2; TITN 2007-1; TITN 2007-CT1; TMAN 5; WBCMT 2005-C22; WBCMT 2006-C23; WBCMT 2007-C30