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

Pipeline
A mixed bag of securitisations remained in the pipeline by the end of last week. ABS and CMBS accounted for the majority of deals, with a handful of CLOs and RMBS also marketing.

The newly announced ABS transactions comprised: US$572.22m Conn's Receivables Funding Series 2017-B, US$265.8m Consumer Loan Underlying Bond Credit Trust 2017-NP2, US$74m Continental Credit Card ABS 2017-1 and US$1.5bn Nissan Auto Receivables 2017-C Owner Trust. The CMBS are: US$240m CSMC Trust 2017-PFHP, US$160m Diamond Issuer Secured Cellular Site Revenue Notes Series 2017-1, US$942.737m MSCI Trust 2017-HR2 and US$744.8m WFCM 2017-C42.

The RMBS entering the pipeline last week include US$419.55m Finance of America Structured Securities Trust 2017-HB1, €172m SRF 2017-2 and US$365m Tricon American Homes 2017-SFR2, while the CLOs are US$480m Arbor Realty Commercial Real Estate Notes 2017-FL3, US$407.8m BlueMountain Fuji US CLO III and US$1bn BXMT 2017-FL1.

Priced
ABS also accounted for the majority of pricings last week, followed by CLOs. A couple of Australian RMBS and a CMBS also printed.

Of the ABS new issues, a handful were auto deals: US$200m American Credit Acceptance Receivables Trust 2017-4, US$500m Avis Budget Rental Car Funding Series 2017-2, US$126.32m CarNow Auto Receivables Trust 2017-1, CNY3.5bn Driver China Eight and US$575m OneMain Direct Auto Receivables Trust 2017-2. The remainder were student loan transactions (£1.7bn Income Contingent Student Loans 1 (2002-2006), US$539.4m Nelnet Student Loan Trust 2017-3 and US$425m SoFi Professional Loan Program 2017-F), consumer loan deals (US$270m Foundation Finance Trust 2017-1 and US$275m Mariner Finance Issuance Trust 2017-B) and esoteric deals (US$131m Tesla 2017-2 and US$1.025bn Wendy's Funding Series 2018-1).

Of the CLO prints, the majority were refinancings: US$539.66m Babson CLO 2013-1, US$449.46m Dryden 37 Senior Loan Fund, US$612.3m Golub Capital Partners CLO 21(M)-R, US$400m Golub Capital Partners CLO 28(M)-R and US$432.16m KVK CLO 2013-1. A trio of new issues also priced: US$399.9m MMCF CLO 2017-1, €413.9m OZLME III and US$409m Wellfleet CLO 2017-3.

The A$400m Pepper I-Prime 2017-3 and A$750m Progress 2017-2 Trust RMBS, as well as the A$300m Think Tank Series 2017-1 CMBS rounded out last week's pricings.

Editor's picks
New investment era embedded: It has been a banner year for US CLOs, with new issue volumes already topping US$100bn, plus resets and refinancings accounting for a further US$140bn. Not only have risk retention requirements embedded successfully, despite initial concerns regarding their implementation, they have also created new investment opportunities...
Confidence boost for synthetic NPL deals: A recent Ashurst survey notes that securitisation may prove to be the most prevalent method of non-performing loan resolution in Greece in the early years of the market, given the established infrastructure for this type of transaction. Indeed, NPL investors rank Greece in their top-two southern European target investment countries for the next 12 months...
Innovative financial guarantee printed: Raiffeisen's €1.2bn ROOF Slovakia 2017, which is believed to be the first synthetic securitisation of Slovak assets (SCI 1 December), strengthens the bank's common equity tier 1 ratio (fully loaded) by around 12bp at the group level. The bank plans to be a programmatic issuer of risk transfer trades via its 'ROOF' securitisation platform...
Auto ABS spread distortion eyed: European auto ABS bonds are trading at similar spreads to unsecured corporate debt issued by the same parent company, indicating a distortion of risk in the market. The trend may eventually be broken, however, as the ECB slows its ABS purchasing programme and regulatory changes taking affect next year broaden the European investor base for auto ABS...

Deal news
• TCG BDC, formerly Carlyle GMS Finance, has teamed up with Credit Partners USA, a subsidiary of Canadian pension firm PSP, in a US$400m CLO. MMCF CLO 2017-1 is a static middle-market CLO and the first to be serviced by Middle Market Credit Fund (MMCF).
• Blackstone Mortgage Trust, a Blackstone-owned REIT, is marketing an inaugural US$1bn CRE CLO. Dubbed BXMT 2017-FL1, the transaction is the largest CRE CLO since the crisis and will initially be backed by 31 equally-sized non-controlling interests that are collateralised by 71 properties.