SCI Start the Week - 11 September

Category: ABS CDO CLOs


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

Pipeline
There were several additions to the pipeline last week, with ABS accounting for most of the activity. There were a dozen ABS added, along with four RMBS, a CMBS and a CLO.

The ABS were: CNY3.5bn Autopia China 2017-2; US$1.45bn DB Master Finance Series 2017-1; US$400m Exeter Automobile Receivables Trust 2017-3; US$1.058bn Fifth Third Auto Trust 2017-1; US$1.351bn Ford Credit Auto Owner Trust 2017-REV2; US$1bn GM Financial Automobile Lease Trust 2017-3; LaSer ABS 2017-1; NZ$220m MTF Sierra Trust 2017; US$418.2m OSCAR US 2017-2; US$527.12m SoFi Consumer Loan Program 2017-5; US$486m USAA Auto Owner Trust 2017-1; and US$325m Vistana 2017-1.

US$426.18m COLT 2017-2 Mortgage Loan Trust, Gosforth 2017-1, Sequoia Mortgage Trust 2017-CH1 and US$771.24m Starwood Waypoint Homes 2017-1 accounted for the RMBS. The CMBS was US$800m Stonemont Portfolio Trust 2017-STONE and the CLO was Cadogan Square CLO X.

Pricings
Fewer deals went the other way. The week's prints were confined to a pair of ABS, a couple of RMBS and four CLOs.

The ABS were £369m Driver UK Six and US$1.3bn Navient Student Loan Trust 2017-5, while the RMBS were US$427m Mortgage Fund IVc 2017-RN4 and US$250m Ocwen Master Advance Receivables Trust Series 2017-T1. The CLOs were US$1.5bn Colonnade Global 2017-3, €517m Jubilee CLO 2014-12R, US$519m Madison Park Funding 2017-26 and US$673.31m Octagon Investment Partners 24 2015-1R.

Editor's picks
Cohen and Co adds to Ukrainian NPL deal flow: Erste Group Bank has successfully sold a Ukrainian portfolio, consisting of €240m of corporate loans and €95m of commercial real estate (CRE), at a significant discount to nominal value. The transaction comes at a time when investor interest in Ukraine is gaining traction (SCI 25 August)...
Swap solution for Cyprus NPLs: Cypriot banks are increasingly using debt-to-equity and debt-to-asset swaps to reduce their non-performing loan portfolios, facilitating deal flow in a relatively dormant market. For investors, the swaps are also a useful tool for bridging the gap between bid and ask prices...

Deal news
• Barclays has closed its third Colonnade global significant risk transfer trade (SRT), Colonnade Global 2017-3 Financial Guarantee. In unusual fashion for capital relief trades the credit protection covers both principal and accrued interest.
• Stonemont Financial Group has sponsored its inaugural CMBS, backed by a portfolio of office, industrial, retail and bank branch properties across 20 US states. The US$800m CMBS conduit, dubbed Stonemont Portfolio Trust 2017-STONE (see SCI's deal pipeline), is collateralised by a two-year, floating-rate, interest-only mortgage loan securing 94 properties and a leasehold interest in one property.
• Middle-market CLO issuance has picked up again, following a summer lull, and spreads have ground tighter. Investors will be keeping an eye on how tight spreads get, and also on the risk of credit issues as competition for assets intensifies. When TCP Whitney CLO 2017-1 priced at the start of August it did so at the tightest triple-A spreads for a middle-market CLO all year.

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