Monday 10 April 2017 16:52 London/ 11.52 New York/ 00.52 (+ 1 day) Tokyo

A look at the major activity in structured finance over the past seven days.

Pipeline
ABS names once again made up the majority of last week's pipeline additions. There were also a couple of ILS and a handful of RMBS.

The ABS were: US$1bn CarMax Auto Owner Trust 2017-2; US$469.83m Conn's Receivables Funding 2017-A; US$224.94m CPS Auto Receivables Trust 2017-B; US$172.03m Foursight Capital Automobile Receivables Trust 2017-1; CNY2.884bn Fuyuan 2017-1 Retail Auto Mortgage Loan Securitization Trust; US$254.75m Helios Issuer Series 2017-1; US$1bn Navient Student Loan Trust 2017-3; CNY5.5bn Silver Arrow China 2017-1; and US$1bn World Omni Auto Receivables Trust 2017-A.

Everglades Re II Series 2017-1 and Residential Reinsurance 2017-1 were the two ILS. The RMBS were European Residential Loan Securitisation 2017-NPL1, Grand Canal 1, Harben Finance 2017-1 and Ripon Mortgages.

Pricings
The other side of the coin was also familiar, as CLOs once again dominated the week's pricings. There was some variety to the week's prints, with ABS, ILS, RMBS and CMBS each also making a showing.

The ABS were: US$125m BRE Grand Islander Timeshare Issuer 2017-A; US$1.9bn Citibank Credit Card Issuance Trust 2017-A3; US$500m Citibank Credit Card Issuance Trust 2017-A4; US$989m GM Financial Consumer Automobile Receivables Trust 2017-1; US$350m PFS Financing Corp 2017-A; and US$281m TAL Advantage VI Series 2017-1.

US$950m Kilimanjaro II Re 2017-1, US$300m Kilimanjaro II Re 2017-2, and US$100m Pelican IV Series 2017-1 were the three ILS, while the RMBS were US$221m Deephaven Residential Mortgage Trust 2017-1, A$500m Light Trust 2017-1, US$752m-equivalent Resimac Premier Series 2017-1 and US$1.32bn STACR 2017-DNA2. The two CMBS were US$1bn BANK 2017-BNK4 and US$758.8m LSTAR 2017-5.

Yet again, many of the CLOs were refinancings. The full list consisted of: US$1.177bn ALM Loan Funding 2014-14R; US$618.15m Apidos CLO 2014-18R; US$817.6m Ares CLO 2017-43; €316.5m Ares European CLO 2013-6R; US$359m Battalion CLO 2014-6R; €276m Cadogan Square CLO 2013-5R; US$409.44m Crestline Denali CLO XV 2017-1; US$408m Flatiron CLO 2017-1; US$463m KKR Financial CLO 2013-1R; US$495.5m KVK CLO 2014-2R; US$476.75m Magnetite CLO 2014-11R; US$415.5m Mountain Hawk CLO 2014-3R; €360.75m OCP Euro CLO 2017-1; US$507m Rockford Tower CLO 2017-1; US$391.3m Sound Harbor Loan Fund 2014-1R; US$492m Sound Point 2014-2R; and US$376.5m TICP CLO 2014-1R.

Editor's picks
B-piece buyer shift underway: The US CMBS B-piece investor base is shifting towards those with longer-term capital, following the implementation of risk retention rules. Greater clarity over the structural complexity associated with the rules, together with increasing credit quality is expected to facilitate growth across the sector...
Synthetics to receive an STS designation?: Momentum is growing for a simple, standardised and transparent (STS) designation for synthetic securitisations at the EU level, driven by the support of the European Commission and the EBA. Such a designation is expected to increase supply and enhance standardisation in the risk transfer market...
Leverage ratio driving off-balance sheet trend: A number of European banks are becoming more active in the true sale securitisation format for risk transfer transactions. The move is being driven by the focus on balance sheet reduction, following the introduction of leverage ratio requirements under Basel 3...
B&B portfolio sale to bring new RMBS: UK Asset Resolution has sold two asset portfolios comprising performing buy-to-let loans totalling £11.8bn to Blackstone and Prudential (SCI 31 March). The loans come from the old Bradford & Bingley portfolio and are set to be securitised in two deals, including potentially the largest post-crisis European RMBS to date...
Euro ABS/MBS active: The European ABS/MBS secondary market is once again active, without yet fully taking off. "There are selective opportunities, but there's no real stand-out activity," says one trader. "One possible exception to that is some of the racier positions from the big CDO liquidation are now emerging..."
China tipped as next NPL frontier: Distressed debt investors are becoming more active in the Chinese non-performing loan market. Recent government action - including the creation of a more transparent and effective legal system - is widening the scope of opportunities in the sector...

Deal news
• The first Chinese auto loan ABS to receive a triple-A rating from S&P is currently marketing, although Fitch has not rated it so highly. Fuyuan 2017-1 Retail Auto Mortgage Loan Securitization Trust is a CNY2.884bn secured by loans to prime quality borrowers.
• Sunnova Energy is marketing its inaugural US$254.75m securitisation. Dubbed Helios Issuer Series 2017-1, it is backed by a pool of 13,838 leases linked to residential solar photovoltaic (PV) installations.
• SBA Communications is marketing its first risk retention-compliant securitisation. The US$760m SBA Tower Trust Series 2017-1C is backed by a pool of wireless towers located across the US and their related tenant leases.
• Deephaven Mortgage is in the market with an RMBS backed primarily by non-QM loans extended to non-conforming borrowers. Dubbed Deephaven Residential Mortgage Trust 2017-1, the US$219.82m transaction features a double true sale structure and an atypical cashflow waterfall.
• Lone Star is back in the market with another Irish RMBS. It is currently marketing European Residential Loan Securitisation 2017-NPL1, which securitises non-performing loans.
• Freddie Mac has priced its largest STACR deal to date. The US$1.32bn STACR 2017-DNA2 is also Freddie Mac's second low-LTV deal of the year.


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