A look at the major activity in structured finance over the past seven days
Pipeline
The pace of deals joining the pipeline slowed slightly last week. At the final count there was one new ABS, two RMBS, three CMBS and three CLOs.
The ABS was US$250m Jamaica Merchant Voucher Receivables Series 2015-1, while the RMBS were US$297.17m Citigroup Mortgage Loan Trust 2015-A and US$604m IHSFR 2015-SFR2. The CMBS consisted of US$1.1bn CGCMT 2015-GC29, US$1.14bn JPMBB 2015-C28 and US$150m VFC Series 2015-3, while US$513.1m Babson CLO 2015-I, US$504.75m Mariner CLO 2015-1 and US$508m Shackleton 2015-VII constituted the CLOs.
Pricings
There was notably more activity in deals leaving the pipeline. There were seven ABS prints as well as three ILS, four RMBS, two CMBS and 11 CLOs.
The ABS were: US$987m Ally Auto Receivables Trust 2015-SN1; US$1.25bn Capital One Multi-Asset Execution Trust 2015-1; £500m E-CARAT 5; US$214m JGWPT XXXIV Series 2015-1; US$302.6m Michigan Finance Authority Series 2015-1; US$1.25bn Penarth 2015-1; and €820m Quarzo CQS.
Kizuna Re II series 2015-1, US$100m Manatee Re Series 2015-1 and US$100m Queen Street Re 2015 were the ILS, while the RMBS were £258m Celeste 2015-1, €700m Hypenn RMBS III, US$860m STACR 2015-HQ1 and US$287.74m WinWater Mortgage Loan Trust 2015-3 and the CMBS were €175m DECO 2015-HARP and US$830m WFCM 2015-LC20.
Lastly, the CLOs were: US$408m Arrowpoint CLO 2015-4; €309m BNPP IP Euro CLO 2015-1; US$416m Crown Point CLO III; US$515m Dryden 38 Senior Loan Fund; €310m GLG Euro CLO I; €362.2m Grosvenor Place 2015-1; €3bn IM Grupo Banco Popular Empresas VI; US$440m JFIN CLO 2015-3; US$559m Kitty Hawk CLO 2015-1; US$416m OHA Loan Funding 2015-1; and US$508m Shackleton 2015-VII.
Markets
In US agency RMBS, FN 3.0s-4.0s underperformed curve hedges by 1 to 4 ticks over the past week, report Citi analysts, while FN 4.5s went on a tear and appreciated by 9 ticks as the roll on the coupon spiked from 3-plus ticks to 7 ticks. "Given the outperformance of FN 4.5s over the past week, we think they are looking fairly priced now. We continue to think FN 4.0s are rich," they say.
The tone in the US non-agency RMBS market was relatively average last week, report Bank of America Merrill Lynch analysts. "Through Thursday, US$522m of investment grade bonds and US$4.8bn of non-investment grade bonds traded, according to TRACE data," they note.
US CMBS spreads ended their nearly two-month rally with a broad-based sell-off, which Barclays Capital analysts partly attribute to macro concerns, as some economic data disappointed and drove equities down and credit spreads wider. "For the CMBS market, the macro concerns were exacerbated by a large amount of new issue conduit supply this week. Secondary trading levels for recently issued triple-A LCF bonds widened 2bp, to swaps plus 84bp," they say.
Deal news
• UK Chancellor George Osborne announced in last week's Budget that the UK government would look to sell £13bn of mortgage assets from the bailouts of Northern Rock and of Bradford & Bingley. This amount matches the current outstanding size of the legacy Granite RMBS programme.
• Deutsche Bank is in the market with the first Irish CMBS to be issued since the financial crisis began. €174.98m DECO 2015-Harp has four classes of notes and will be rated by S&P and Moody's, marking the first time Moody's has rated a conduit style CMBS in Europe since 2007.
• The US$38.5m Columbus, Ohio, Eastland Mall in LBUBS 2007-C1 has been bid at US$9.25m at auction. The mall was previously listed for auction last May (SCI 22 April 2014) but failed to meet the reserve price.
• The US$14.7m The Hills property in Dallas, Texas, has been bid at auction to a high level of US$18.1m, according to Barclays Capital securitised products analysts. Should that bid be accepted, CMBS losses would follow for GSMS 2011-GC5.
• The M1 bonds of STACR 2014-DN3 and STACR 2014-HQ1 experienced a large paydown in their March remittance, according to Barclays Capital securitised products analysts. STACR 2014-DN3 M1 and STACR 2014-HQ1 M1 paid down by 18% and 8.4%, respectively.
• Rabobank International has resigned from its role as the collateral manager for Solstice ABS CDO III and designated Dock Street Capital Management as the replacement manager. Fitch says the terms of the proposed replacement collateral management agreement have remained almost identical, with only minor differences that are not material to the ratings of the transaction.
Regulatory update
• The introduction in the US of the Bank on Students Emergency Refinancing Act of 2015 by Senator Elizabeth Warren and Representative Joe Courtney is the latest in a series of moves to modify the treatment of student loans in the bankruptcy process. Barclays Capital analysts believe this could pose headline risks for student loan ABS and could act as a headwind for spreads in the sector.
• ESMA has launched a call for evidence on its approach to disclosure for structured finance instruments (SFIs) originated and/or traded on a private and/or bilateral basis. The replies to the consultation will serve as an input for the phase-in approach on the extension of the disclosure requirements of the CRA 3 RTS for private and bilateral transactions in SFIs.
• The new Spanish bankruptcy law for nonperforming, highly indebted individuals could add additional marginal losses to securitisations, says Scope Ratings. However, the agency's structured finance ratings will be unaffected.
• The NCUA has filed suit in federal court against HSBC, alleging the bank violated state and federal law by failing to fulfil its duties as trustee for 37 RMBS trusts. The agency is suing as liquidating agent for five failed corporate credit unions, continuing a number of recent suits against various trustees (SCI passim).