A look at the major activity in structured finance over the past seven days
Pipeline
The year began with three new deals entering the pipeline last week. The largest is a US$1.7bn stranded cost ABS (CenterPoint Energy Transition Bond Company IV), which was joined by a US$765m student loan ABS (SLM Student Loan Trust 2012-1) and a US$400m CLO (ALM V).
Pricings
The first RMBS of the year (€722m Popolare Bari SPV 2011) has priced. Three further deals also printed late last year - a C$120m ILS (Vecta 1), a €614m SME CDO (Madrid FTPYME II) and a US$775m credit card ABS (Chase Issuance Trust 2011-3).
Markets
The first trading week of 2012 was fairly quiet across most structured finance secondary markets. However, US CMBS was something of an exception as volumes jumped back to 2011 levels.
"Since the beginning of December, BWIC volumes have declined significantly, but in this holiday-shortened week there was nearly US$1bn in lists," report Deutsche Bank CRE debt analysts. Consequently, they say spreads were tighter across the board, with new issue mezz and legacy AJ spreads tightening the most.
Citi securitised product analysts concur, noting: "Weekly duper volume reached about US$700m, back to near its 2011 average of US$732m, after a slow December." Generic dupers and GG10s are now at 235bp and 250bp, respectively, 25bp-35bp tighter than at year-end. Generic AMs, currently at 625bp, are in by 75bp compared to year-end.
Non-agency RMBS-related price action was more muted, as prices remained close to flat over the past month, say US residential credit analysts at Barclays Capital. Despite that, they add: "The tone in non-agency cash is moderately bullish and there were marginal gains...in jumbo hybrids and alt-A fixed positions. Synthetic indices rose strongly in the first week of January, after remaining mostly flat during the second half of December. PrimeX rose 1.5-2 points on the week and ABX 06-07 PAAA/LCF rose 1-3 points."
Sentiment remained mostly unchanged in the opening week of 2012 in the US ABS market, according to analysts at JPMorgan. "Short-duration triple-A benchmark ABS that can serve as cash surrogates remain the hot commodities and continue to trade very well," they say. Spreads were mostly unchanged over the week, but triple-A two- and three-year fixed prime auto loan ABS spreads tightened by 2bp each.
Spreads were also unchanged in the US CLO market, report analysts at Bank of America Merrill Lynch. "Only modest flows into the New Year so far, as CLO investors continue to look for direction cues from broader markets."
Deal news
• Banco BPI has surprised the market by launching a fixed price tender offer for ten bonds, accounting for €2.17bn of outstanding nominal value, across three Portuguese RMBS transactions - Douro Mortgages 1, 2 and 3. The offers form part of the firm's efforts to manage its balance sheet and capital structure, and aim to provide liquidity to successful participants.
• Dock Street Capital Management has been retained as liquidation agent for Kleros Real Estate CDO IV. The collateral will be sold via two auctions on 18 January.
• Nomura Corporate Research and Asset Management has given notice of its resignation as investment manager on the Clydesdale Strategic CLO I and Clydesdale CLO 2005 transactions. The manager proposed to assign the investment management agreements for the deals to Ares Management.
• Faxtor ABS 2005-1 class A1 noteholders have been invited to tender their notes for purchase. The maximum proposed spend amount is €22m at a maximum purchase price of 80%.
Regulatory update
• The comment period on the proposed Volcker Rule has been extended by a month until 13 February 2012. The extension forms part of a coordinated interagency effort to allow interested parties more time to analyse the issues and prepare their comments.
Deals added to the SCI database last week:
Acier 2011-I
Atlantes Finance No. 4
BPM Securitisation 2
Chase Issuance Trust 2011-A3
FCT R&B BDDF PPI
GC FTPYME UNNIM 1
Geldilux TS 2011
Loma Re Series 2011-2
Madrid FTPYME II
Penates Funding 4
Siena Lease 2011-1
Vecta 1
Top stories to come in SCI:
TRACE and ABS liquidity
CDS documentation
US CMBS modification trends
Asian CLOs
Developments in real-time clearing
Recruitment trends