SCI Start the Week - 10 July

Category: ABS CDO CLOs


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

Pipeline
Pipeline activity picked up a little last week, but remained fairly muted. Additions consisted of five ABS, five RMBS and a CMBS.

The ABS were €275m Bavarian Sky Europe Compartment Swiss Auto Leases 2, US$227m First Investors Auto Owner Trust 2017-2, US$1bn GM Financial Consumer Automobile Receivables Trust 2017-2, US$857m John Deere Owner Trust 2017-B and SMART ABS Series 2017-2.

A$350m Barton Series 2017-1 Trust, Finsbury Square 2017-2, A$686m Liberty Series 2017-3 Trust, Resimac Premier Series 2017-2 and US$485.25m Sequoia Mortgage Trust 2017-5 were the RMBS. The CMBS was US$671m CGMS 2017-MDDR.

Priced
There were considerably fewer prints than there had been the week before. The last count consisted of four ABS, two RMBS and three CLOs.

€309.7m Brisca Securitisation 2017, €700m Bumper 9 (NL) Finance, US$940.7m Castlelake Aircraft Structured Trust 2017-1 and £473m Globaldrive Auto Receivables UK 2017-A were the ABS. The RMBS were €346.6m Cartesian Residential Mortgages 2 and £443m Residential Mortgage Securities 30, while the CLOs were US$462.2m Atlas Senior Loan Funding 2014-1R, US$468m Benefit Street Partners CLO 2013-3R and €279.3m Cairn CLO BV 2015-5R.

Editor's picks
Atlante II role confirmed in MPS deal: The European Commission has approved a €5.4bn precautionary recapitalisation of Monte dei Paschi di Siena under EU state aid rules, which is conditional on a five-year restructuring plan that includes the disposal of a €26.1bn non-performing loan portfolio via securitisation. Atlante II is expected to share the funding of the junior and mezzanine tranches with an undisclosed group of investors, while the senior note will be sold to private investors...
ESBies unlikely to boost ABS: The securitisation market is unlikely to see any benefit from the issuance of European safe bonds (SBBS or ESBies), despite a recent European Commission paper supporting their development. This follows an earlier proposal to create a European 'safe bond' akin to US Treasury bonds (SCI 26 October 2016), but questions remain over the product's viability, along with investor appetite...
Attica deal unlikely to be replicated: Greek bank Attica has announced a securitisation of €1.3bn of non-performing loans. Although rare, the transaction is unlikely to become a template for larger systemic banks, as control of servicing and the portfolio remains an issue...
Reserve uncertainty weighs on legacy RMBS: It emerged last week that Wells Fargo withheld over US$90m in cashflow across 20 Bank of America-originated legacy non-agency RMBS, which resulted in losses across the capital structure. The move has introduced uncertainty due to legal complications to the sector, unrelated to ongoing collateral performance...

News
• The Basel Committee and IOSCO have released consultative documents outlining criteria for identifying simple, transparent and comparable (STC) short-term securitisations and their proposed capital treatment. The criteria take account of the characteristics of ABCP conduits, such as the short maturity of the CP issued, the different programme structures (multi-seller and single seller) and the existence of multiple forms of liquidity and credit support facilities.
Banca Carige has launched its keenly-anticipated non-performing loan securitisation (SCI 1 March). Dubbed Brisca Securitization, the €309.7m transaction is backed by an NPL portfolio with a total gross book value of €938.3m.
Natixis has issued the first-ever 'green' tranche in a CMBS, in collaboration with Ivanhoe Cambridge and Callahan Capital. The US$72m bond was incorporated in the recent CSAIL 2017-C8 transaction and refinanced part of the US$358.6m fixed-rate first mortgage loan provided by Natixis to Ivanhoe Cambridge for the acquisition of the 85 Broad Street building in New York.
Sears is set to terminate its master lease at 20 unprofitable locations owned by Seritage Growth Properties and vacate the properties in October (SCI 7 April 2015). The move could adversely affect about US$550.4m of loans in associated CMBS.
• Tighter policy guidance is influencing the range of products that UK buy-to-let mortgage lenders are offering. Indeed, some lenders appear to be exploiting the differences in regulatory lending policies across mortgage products - which could lead to unintended risks within BTL RMBS.
• The Annington Group is set to refinance its capital structure, after investors passed an extraordinary resolution last week allowing the firm to redeem its Annington Finance No. 1 and No. 4 CMBS. The move is designed to take advantage of favourable market conditions and is expected to reduce the firm's borrowing costs.

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