SCI Start the Week - 12 June

Category: ABS CDO CLOs


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

Pipeline
It was another week of limited pipeline activity, although several CMBS have been announced. Along with those there were two ABS, an ILS and two RMBS added to the list last week.

US$163.1m Upstart Securitization Trust 2017-1 and US$1.3bn Verizon Owner Trust 2017-2 were the ABS, while the ILS was US$100m IBRD CAR 111-112. The RMBS were US$735m STACR 2017-HQA2 and Twin Bridges, a UK deal.

The CMBS consisted of: US$900m BANK 2017-BNK5; US$418.1m BSPRT 2017-FL1; US$900m CSAIL 2017-C8; US$900m DBJPM 2017-C6; JPMCC 2017-MARK; and US$342.4m RAIT 2017-FL7.

Pricings
There was a healthy tally of ABS, RMBS and CLO prints. The final count consisted of eight ABS, four RMBS and seven CLOs.

The ABS were: €133m Citizen Irish Auto Receivables Trust 2017; US$259.71m CCG Receivables Trust 2017-1; US$231.684m CommonBond Student Loan Trust 2017-A-GS; US$150m Drug Royalty III Series 2017-1; US$1.21bn GM Financial Automobile Leasing Trust 2017-2; US$684.9m Synchrony Credit Card Master Note Trust 2017-1; US$318.9m Triton Container Finance VI; and US$147.5m United Auto Credit Securitization Trust 2017-1.

The RMBS were: Deephaven Residential Mortgage Trust 2017-2; US$959m Mill City Mortgage Loan Trust 2017-2; US$698m New Residential Mortgage Loan Trust 2017-3; and £477m Oat Hill No.1.

Lastly, the CLOs were: US$708.25m ALM Loan Funding 2015-12R; US$524.75m Apidos CLO 2013-16R; US$458.15m Battalion CLO 2015-8R; US$1.252bn CBAM CLO Management 2017-1; €413.55m Clontarf Park CLO; US$359m Figueroa CLO 2013-2R; and €337.9m Halcyon Loan Advisors European Funding 2017-1.

Editor's picks
WAC caps not deterring RMBS investors: Since early 2016 a number of European RMBS have been issued featuring net WAC caps, which alter the normal function of the revenue waterfall. While these deals may present worse value for mezzanine noteholders, lack of supply is enabling issuers to structure deals more aggressively in the knowledge that paper will be absorbed by yield-hungry investors...
MPS solvency plan outlined: Monte dei Paschi di Siena (MPS) has set out a plan to demonstrate its solvency to regulators, paving the way for a precautionary recapitalisation by year-end. The plan hinges on the lender's ability to dispose of its €30bn non-performing loan portfolio - including via a securitisation - which it was unable to achieve in December, when it was forced to seek a government bailout (SCI 21 December 2016)...
Bankruptcy reform opens floodgates: India's bankruptcy law has attracted increased investment in its non-performing loan market, following reforms to the enforceability of contracts. However, concerns remain over whether associated time-bound decisions can be achieved, due to the complexity of the legal system...

News
• The US House of Representatives has passed the Financial CHOICE Act. The legislation aims to replace much of the Dodd-Frank Act, specifically criticising Dodd-Frank's "one size fits all" approach to securitisation and doing away with risk retention requirements for all asset classes except RMBS.
• US non-performing loan RMBS early redemption activity has hit record levels this year. US$5.3bn of bonds have been called since the beginning of 2017, compared to about US$2.4bn in 2016, according to Wells Fargo figures.
European securitisation market participants expect the number of investors to grow and participation by investors to increase. Increased investor support is identified in a recent DBRS survey as one of the most important changes required in order to grow the securitisation market, while regulatory concerns once again dominate.
• At the upcoming SCI Marketplace Lending Securitisation Seminar in New York on 22 June, panellists will discuss the structuring and evolution of marketplace loan ABS. The fact that deals are increasingly incorporating features to reduce risk is one area that is expected to be covered.

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