Lewtan Market Monitor June/July 2014

Market Monitor
ABS Market Trend Information Available Exclusively From Lewtan.
Issue 4, July 2014
Market Monitor
US & EU/AUZ Primary Market Overview
Year on Year Summary*
2013
Asset Class EU/AUS
Auto
17,677
RMBS
53,363
CLO
3,691
CMBS
8,458
Consumer
4,844
SLABS
SME
3,252
Other
10,474
101,760
January 1 through June 20
Issuance YOY ($bn)
2014
2013
EU/AUS % Chg
US
11,523 -35%
49,902
34,092 -36%
20,470
7,868 113%
47,541
369 -96%
114,442
5,140
6%
18,618
15,149
2,949 -9%
307
6,101 -42%
18,379
68,041 -33%
284,808
2014
US
55,513
10,545
55,500
90,561
26,858
8,207
718
17,167
265,069
% Chg
11%
-48%
17%
-21%
44%
-46%
134%
-7%
-7%
*
*Only Placed Deals.
Source: Structured Credit Investor
Lewtan Market Monitor, Issue 4, July 2014
Market Monitor
US & EU/AUZ Primary Market Overview (continued)
New Issue Market Dynamics: What is being issued*
*Only Placed Deals.
Source: Structured Credit Investor
Lewtan Market Monitor, Issue 4, July 2014
Market Monitor
Primary Markets – Publicly Placed Transactions
ABS
Priced:
Date
5-Jun-14
11-Jun-14
3-Jun-14
10-Jun-14
3-Jun-14
6-Jun-14
6-Jun-14
11-Jun-14
Issue
SMART ABS Series 2014-2E Trust
Golden Bar (Securitisation) series 2014-1
Delamare Cards MTN Issuer series 2014-1
Nissan Auto Lease Trust 2014-A
AmeriCredit Automobile Receivables Trust 2014-2
CPS Auto Receivables Trust 2014-B
Tidewater Auto Receivables Trust 2014-A
Santander Drive Auto Receivables Trust 2014-3
Class
AA
A
A1
A1
A1
A
A1
A1
Originator
Macquarie
Santander
Tesco
Nissan
AmeriCredit
Consumer Portfolio Services
Tidewater Finance Co
Santander
Type
Auto prime ABS
Auto prime ABS
Consumer/credit card ABS
Auto lease ABS
Auto non-prime ABS
Auto non-prime ABS
Auto non-prime ABS
Auto non-prime ABS
Market
Eu/ Aus
Europe
UK
US
US
US
US
US
3-Jun-14
4-Jun-14
10-Jun-14
10-Jun-14
3-Jun-14
3-Jun-14
3-Jun-14
10-Jun-14
5-Jun-14
California Republic Auto Receivables Trust 2014-2
Fifth Third Auto Trust 2014-2
Ally Auto Receivables Trust 2014-1
Toyota Auto Receivables 2014-B Owner Trust
Citibank Credit Card Issuance Trust 2014-A5
CNH Equipment Trust 2014-B
MMAF Equipment Finance 2014-A
GE Equipment Transportation 2014-1
NewStar Arlington Senior Loan Program
A1
A1
A1
A1
A
A1
A1
A1
A1
California Republic Bank
Fifth Third Bank
Ally Financial
Toyota
CITG
CNH Capital
MassMutual Asset Finance
GE
NewStar
Financial
Pennsylvania
Higher Ed.
Assistance Authority
Nelnet
Hilton
Auto prime ABS
Auto prime ABS
Auto prime ABS
Auto prime ABS
Consumer/credit card ABS
Equipment ABS
Equipment ABS
Equipment ABS
SME CLO
US
US
US
US
US
US
US
US
US
Student loan FFELP ABS
Student loan FFELP ABS
Timeshare ABS
US
US
US
3-Jun-14 PHEAA Student Loan Trust 2014-2
13-Jun-14 Nelnet Student Loan Trust 2014-5
10-Jun-14 Hilton Grand Vacations Trust 2014-A
A
A
A
Highlights:
• Another busy month with numerous top tier auto issuers bringing deals to market with benchmark
issue sizes in the $1-2bn area for US deals with the sole European deal sized at Euro 750m.
• A credit card ABS priced either side of the Atlantic, Tesco Personal Finance bringing GBP 500m of
supply to the market at +45/2.9y and +65/4.9y WAL, whilst Citi brought an $850m AAA series from
its program at +47/7y WAL.
• In the European pipeline are GMAC with a German Auto, BMW with a German Auto and Santander
Poland with an auto loan deal. In the US the pipeline includes Ally Bank’s floorplan issue and
Cabela’s Credit Cards issue.
Source: SCI
Lewtan Market Monitor, Issue 4, July 2014
Market Monitor
Primary Markets – Publicly Placed Transactions
RMBS:
Priced:
Date
5-Jun-14
5-Jun-14
6-Jun-14
6-Jun-14
3-Jun-14
5-Jun-14
Issue
IDOL 2014-1 Trust
STORM 2014-II
Dominato Leonense
MARS 2600 series V
Friary No. 2
Fosse Master Issuer Series 2014-1
Class
A
A1
A
A1
A
A1
Originator
ING
Obvion
Casa Padana
Banca Sella
Principality Building Society
Santander
Type
RMBS
RMBS
RMBS
RMBS
RMBS
RMBS
Market
Australia
Europe
Europe
Europe
UK
UK/US
Highlights:
• Two frequent issuers, Santander (UK RMBS) and Obvion (Dutch RMBS) brought benchmark sized
deals to the market in June, Fosse placed $850m of short dated paper into the USD market at
+12/0.7y WAL as the Sterling tranche priced at +40/3y WAL. Obvion priced the 5y AAA tranche at
+53bps.
• An Australian RMBS from ING AUD 1.25bn priced with the seniors pricing at +83/2.8y WAL.
• In the European pipeline are Precise Mortgage Funding with a UK Mixed RMBS and Paragon with
deal number 20 from their UK BTL RMBS series. In the US pipeline Redwood are in the market with
an issue out of their Sequoia Trust as is Lone Star with a $1.6bn US RMBS issue.
Source: SCI
Lewtan Market Monitor, Issue 4, July 2014
Market Monitor
Primary Markets – Publicly Placed Transactions
CLO:
Priced:
Date
2-Jun-14
5-Jun-14
6-Jun-14
2-Jun-14
3-Jun-14
3-Jun-14
3-Jun-14
5-Jun-14
6-Jun-14
6-Jun-14
9-Jun-14
9-Jun-14
12-Jun-14
Issue
Carlyle Global Market Strategies Euro CLO 2014-2
ALME Loan Funding II
Harvest CLO IX
KVK CLO 2014-2
BlueMountain CLO 2014-2
Kingsland VII
OHA Credit Partners X
Flatiron CLO 2014-1
ACAS CLO 2014-1
ALM XIV
A Voce CLO
Cerberus AUS Levered II
CIFC Funding 2014-III
Class
A1
A
A
A
A
A
A
A1
A
A1
A1A
AR
A
Originator
CELF Advisors
Apollo Credit Management
3i Debt Management
Kramer Van Kirk Credit Strategies
BlueMountain Capital Management
Kingsland Capital Management
Oak Hill Advisors
NYL Investors
American Capital
Apollo Credit Management
Invesco
Cerberus Capital Management
CIFC Asset Management
Type
CLO
CLO
CLO
CLO
CLO
CLO
CLO
CLO
CLO
CLO
CLO
CLO
CLO
Market
Europe
Europe
Europe
US
US
US
US
US
US
US
US
US
US
Highlights:
• A buoyant month for CLOs, with $6.5bn pricing in the US and Euro 1.3bn pricing in Europe.
• Seniors in the US appears to be clearing in the +140-155bp range with a number of fixed rate
tranches placed to capture specific interest.
• For the US, the first half of the year has seen a record breaking amount of issuance with 119 deals
pricing with $63bn pricing, which is an increase of $22bn on 2013.
• Average deal size has increased by 12% from 2013 levels as investors flock to this resilient asset
class. The pipeline is extremely busy with Alcentra, Carlyle, St. Pauls all expected in Europe whilst
the US pipeline includes numerous issues including Cutwater, Golub, Credit Suisse ($1bn issue),
Octagon, Nebula.
Source: SCI
Lewtan Market Monitor, Issue 4, July 2014
Market Monitor
US Deal Pipeline
Deal
Cabela's Credit Card Master Note
Trust 2014-II
Vermont Student Assistance Corp
series 2014A
Carlyle Global Market Strategies
CLO 2014-3
Cutwater 2014-I
Golub Capital Partners CLO 10
(RF)
Madison Park Funding XIV
Ocean Trails V
Octagon Investment Partners XX
Resource Capital Corp 2014CRE2
Saranac CLO III
TBA
TBA
Size
Arranger
$400m
$612.625m
Natixis
$256m
$1.036bn
MS
Nomura
$616.4m
$252.24m
WF
$351.4m
$350m
Jefferies
TICP CLO II
$527.325m
Tralee CLO III
$450m
IMSCI Series 2014-5
C$312m
BAMLL 2014-ICTS
HILT 2014-ORL
JPMCC 2014-BXH
Type
Cabela's
$29.83m
$415.4m
Originator
Market
Collateral
ABS
US
Credit cards
ABS
US
Private student
loans
CLO
US
CLO
US
Golub Capital
CLO
US
CS
West Gate Horizons
Octagon Credit Investors
Park Bridge Lender
Services
Saranac Advisory Limited
Monroe Capital
Nebula Capital
Management
TPG
CLO
CLO
CLO
US
US
US
CLO
US
CLO
CLO
CLO
US
US
US
CLO
US
CLO
US
CMBS
Canada
CMBS
CMBS
CMBS
US
US
US
Vermont Student
Assistance Corp
Carlyle Investment
Management
Cutwater Investor Services
Corp
$188m
$345m
$269m
RBC, NBF, JPM, TD,
BMO, CIBC, LBS
BAML
UBS, WF
JPM
Par-Four Investment
Management
Institutional Mortgage
Securities Canada Inc
BAML
UBS
JPM
VFC Series 2014-2
$386.342m
CS, WF
FirstCity Financial
CMBS
US
Dodeka IV
$28m
Twelve Capital
ILS
US
Florida and Gulf
Coast wind
Market Re Series 2014-2
$31.825m
JLT Capital Markets
ILS
US
Florida storm risk
Oak Leaf Re Series 2014-1
$44.035m
JLT Capital Markets
ILS
US
Florida storm risk
Sequoia Mortgage Trust 2014-2
TBA
$306m
$213m
RMBS
RMBS
US
US
RMBS
US
RMBS
US
RMBS
US
RMBS
RMBS
RMBS
US
US
US
TBA
TBA
TBA
TBA
TBA
VOLT 2014-NPL4
Source: SCI
$300m
$1.62bn
DB
CS
Redwood Trust
Bayview Financial
FeatherStone Investment
Group
Impac
Opteum Mortgage Insurance
Corp
Stonegate Mortgage
American Residential
Lone Star
Non-performing
REO/rental
receivables
Jumbo
Single-family
Lewtan Market Monitor, Issue 4, July 2014
Market Monitor
European/Australian Deal Pipeline
Deal
Bavarian Sky German Auto
Loan 2
Size
€800m
E-Carat Compartment 7
TBA
Arranger
TBA
TBA
TBA
TBA
TBA
TBA
MODA 2014
Auto loans
Lloyds, JPM,
BNPP
GMAC
ABS
Europe
Auto loans
Alpha Bank
ABS
Europe
Shipping
loans
CVC Credit Partners
Alcentra
New Amsterdam Capital
Management
Cairn Capital
Chenavari
ECM
KKR
Pemba
Rothschild
GS
CLO
CLO
Europe
Europe
CLO
Europe
CLO
CLO
CLO
CLO
CLO
CLO
CMBS
CMBS
CMBS
RMBS
Europe
Europe
Europe
Europe
Europe
Europe
Europe
Germany/
Netherlands
UK
UK
Europe
Prime
RMBS
UK
BTL
RMBS
UK
RMBS
UK
€300m
GS
TBA (Accor)
CMBS
£900m
£550m
€3.5bn
Paragon Mortgages 20
£350m
Precise Mortgage Funding
2014-1
TBA
Source: SCI
£240m
Collateral
Europe
€300m
TBA (More London)
TBA (Westfield Stratford)
FTA RMBS Santander 2
Market
ABS
€1bn
€198.222m
Type
DZ, Santander, SG BMW
Cordatus Loan Fund IV
Jubilee CLO 2014-XIV
Mercator CLO IV
Originator
DB
DB, CA
DB
Banco Santander
Lloyds, Macquarie,
Paragon Mortgages
MS
Charter Court Financial
CS
Services
Precise Mortgages
Lewtan Market Monitor, Issue 4, July 2014
Market Monitor
US & European Secondary Market Themes
Market Tone:
Following the joint announcement in May between the ECB and BOE on support, the ECB’s
announcement of the ABS purchase program has instilled some confidence back into the
European secondary market, with immediate benefit felt in periphery ABS/RMBS. The path this
program follows is yet to be defined but hinting that it will be real economy focused and assisting
non-financial companies in the private sector.
New issues continued to trade up in the European secondary market whilst BWICs continue to
be the most efficient mode of execution to the market. In the US, non-agency RMBS BWIC
volumes hit $566m in the last week of June with supply driven by 05 and 06 Subprime vintages.
This has fallen since the middle of the month where volumes hit $788m with Snr Alt-A hybrid
and Option ARM driving that volume and a 24 line $1bn BWIC list traded around 11 th June driven
by the same asset classes.
Fundamentals:
1. Leveraged Loans: Global leveraged loan volume reached $353.2 bn in H1 2014. This is the
second highest H1 on record, only falling behind 2007’s $634.1 bn. US CLO managers appear
not to be using up their cov-lite loan buckets in deals, according to Moody’s, despite the covlite market growing in size since 2010 and buckets which are 50-60% of some recent deals
with an average of 26% usage over 255 US CLO 2.0s. As there is no universal definition of
cov-lite, it could be that these are being reported lower due to the tight definition in CLO
documentation. The US leveraged loan market is expecting default rates to rise modestly
over the next 12 months. While remaining well inside the long-term average of 3.2%, the
rate is forecasted to rise to 1.48% (excluding the EFH default), slightly wider of initial
estimates of 1.08%.
2. Credit Cards: US cards ABS delinquencies fell in June. Fitch’s 60+ day index fell to 1.09%
(76% below 2009 peak), whilst Excess spread stayed at a record high of 13.27%, which is
more than double the lifetime average of 6.51%. Chargeoffs fell to 3.07% in June and is 73%
below its lifetime high of 11.52%.
3. Ratings stability: S&P has outlined five of the top macroeconomic factors which are most
poignant to the credit stability of European ABS: These are GDP growth, unemployment,
house prices, bank equity returns and corporate credit risk premia. This is based off an
update to a 2012 report that correlated macroeconomic factors with European ABS rating
movements.
4. SLABS: Delinquencies remain low for private label SLABS according to Fitch. There was a
slight decrease in 90/120 day delinquencies with late pays declining to 0.76% in Q1 2014.
Lewtan Market Monitor, Issue 4, July 2014
Market Monitor
Global Market Regulations
1. ECB Asset Purchase Program: The ECB’s asset purchase program plan is in the intensive
preparatory stage with a decision expected soon on the framework. The European Banking
Association claimed at Global ABS in June that data suggests that securitizations are not
particularly liquid. The EBA is assessing the liquidity of securitizations to help the European
Commission determine the Liquidity Coverage Ratio that is to be met in 2018. The EBA is also
prepping a report on what qualifies for HQS for the regulators and ECB to focus on. However
this approach has puzzled some participants as lower capital weightings would automatically
attract investors into ABS and make it more liquid than it is currently, especially given the
fundamental performance of securitizations of recent times.
2. Basel / IOSCO Survey: The Basel Committee and IOSCO have rolled out a survey of global
securitization markets to obtain an assessment of market participants' views for completion by
25 July. Topics include factors that may be hindering the development of a robust securitization
market, those factors inhibiting the participation of real money investors, and the development
criteria to define and develop simple and transparent securitization structures.
3. Revised PCS criteria: The PCS has revised its criteria, notably, issuing labels to homogenous
pools only, a broader definition of ‘residential mortgages’, lead manager numbers, ratings
requirements remain at 2 ratings but relaxing the rating requirements.
Lewtan Market Monitor, Issue 4, July 2014
Market Monitor
Credit Surveillance
Sector Benchmark Analysis - US
US RMBS - CDR Migrations
10.0%
9.0%
8.0%
7.0%
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
US Alt-A
US Prime
Current
3Q Avg
US Subprime
Lifetime Avg
US RMBS - Total Delinq Migrations
5.0%
4.5%
4.0%
3.5%
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
US Alt-A
US Prime
Current
Source: Lewtan ABSNet
3Q Avg
US Subprime
Lifetime Avg
Lewtan Market Monitor, Issue 4, July 2014
Market Monitor
Credit Surveillance
Sector Benchmark Analysis - US
US RMBS - CPR Migrations
18.0%
16.0%
14.0%
12.0%
10.0%
8.0%
6.0%
4.0%
2.0%
0.0%
US Alt-A
US Prime
Current
3Q Avg
US Subprime
Lifetime Avg
US Consumer ABS - Current Performance
10.0%
9.0%
8.0%
7.0%
30 Day DQ
6.0%
60 Day DQ
5.0%
90+ Day DQ
Total DQ
4.0%
CDR
3.0%
2.0%
1.0%
0.0%
US Auto Leases
Source: Lewtan ABSNet
US Auto Loans
US Credit Cards
US Student Loans
Lewtan Market Monitor, Issue 4, July 2014
Market Monitor
Credit Surveillance
Sector Benchmark Analysis – EU/Aus
EU/Aus RMBS - CDR Migrations
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
Current
3Q Avg
Lifetime Avg
EU/Aus RMBS - Delinq Migrations
6.0%
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
Current
Source: Lewtan ABSNet
3Q Avg
Lifetime Avg
Lewtan Market Monitor, Issue 4, July 2014
Market Monitor
Credit Surveillance
Sector Benchmark Analysis – EU/Aus
EU/Aus RMBS - CPR Migrations
35.0%
30.0%
25.0%
20.0%
15.0%
10.0%
5.0%
0.0%
Current
3Q Avg
Lifetime Avg
European Consumer ABS - Current Performance
8.0%
7.0%
6.0%
5.0%
4.0%
3.0%
30 Day DQ
60 Day DQ
90+ Day DQ
Total DQ
2.0%
CDR
1.0%
0.0%
Source: Lewtan ABSNet
Lewtan Market Monitor, Issue 4, July 2014
Corporate Headquarters
410 Totten Pond Road
Waltham, MA 02451
+1 781 672 1213
New York Office
477 Madison Avenue, 18th Fl.
New York, NY 10022
+1 212 329 6293
London Office
15 St. Mary at Hill
London EC3R 8EE
+44 (0) 20 7621 2000
Australia Office
Level 26, 1 Bligh Street
Sydney NSW 2000
+61 2 8226 8897
www.Lewtan.com
[email protected]
www.linkedin.com/company/lewtan
www.twitter.com/LewtanTweet

Download Report