SCI Start the Week - 13 February

Category: ABS CDO CLOs


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

Pipeline
The recent trend of ABS and RMBS dominating pipeline additions continued last week. There were seven ABS and four RMBS added to the list along with a single CMBS.

The ABS were: US$664.45m Ally Master Owner Revolving Trust Series 2017-1; US$953.78m AmeriCredit Automobile Receivables Trust 2017-1; US$225m First Investors Auto Owner Trust 2017-1; A$251.75m Flexi ABS Trust 2017-1; US$189m Mariner Finance Issuance Trust 2017-A; US$311.4m SCF Equipment Leasing 2017-1; and US$724.06m Volvo Financial Equipment Series 2017-I.

US$1bn JPMMT 2017-1, Pepper 18, US$682.5m STACR 2017-HQA1 and US$145m Verus Securitization Trust 2017-1 accounted for the RMBS. The CMBS was US$750m BBCMS Mortgage Trust 2017-C1.

Pricings
Recent patterns also held true for completed issuance. As well as eight ABS prints and four RMBS, there were a dozen CLOs - 10 of which were refinancings.

The ABS were: US$419.789m California Republic Auto Receivables Trust 2017-1; ¥60bn Driver Japan Six; US$435.54m DT Auto Owner Trust 2017-1; US$493.17m GreatAmerica Leasing Receivables Funding Series 2017-1; US$1bn Navient Student Loan Trust 2017-1; US$300m Prop 2017-1; US$$750m SSTRT 2017-1; and US$220.78m Sutton Park Structured Settlements 2017-1.

The RMBS were A$1bn REDS Trust Series 2017-1, US$300m Station Place Securitization Trust 2017-1, £1bn Towd Point 2017-Auburn 11 and US$2.076bn Towd Point Mortgage Trust 2017-1.

The CLOs were: €770m Alchera 2017; US$385.75m Apidos CLO 2014-19R; US$656m CIFC Funding 2014-2R; US$435.25m Eaton Vance CLO 2014-1R; US$322.5m Flatiron CLO 2014-1R; US$327.92m Harborview CLO 2014-7R; US$363.5m Nelder Grove CLO 2014-1R; US$415m Northwoods Capital 2014-14R; US$435m OZLM 2014-9R; US$684.4m Race Point CLO 2013-8R; €367m St Pauls CLO 2014-2R; and US$506.2m Woodmont Trust 2017-1.

Editor's picks
Risk retention trends emerging
: Different retention strategies have emerged for US CLOs and CMBS leading up to and since the implementation of risk retention rules on 24 December 2016, with varying benefits also arising, such as a perception of increased quality in such deals. For the broader ABS market, however, approaches are still taking shape...
Horse Capital leading the way?: The recently-issued Horse Capital I catastrophe bond is further evidence of the ILS market continuing to push boundaries. However, it is not only the underlying risks that are changing, given the noticeable shift towards 'cat bond-lite' structures...
Leveraging NPL disposals: UniCredit is expected to use leverage in its planned €17.7bn NPL securitisation, dubbed Project Fino, in an attempt to bridge the bid/ask gap on the asset valuations with investors PIMCO and Fortress (SCI 14 December 2016). The first phase of the transaction - in which it will sell at least a 20% vertical tranche of the portfolio - will be executed this year, with the second phase (full disposal) taking place by the end of 2019...
Euro ABS/MBS lighter: Volumes in the European ABS/MBS secondary market are lighter than last week. "Secondary activity has slowed down again this week, thanks mainly to there being a few relatively complicated new deals marketing and occupying a lot of attention," says one trader. "At the same time, the latest Towd Point priced tight for what it was, so there's plenty of appetite still out there..."
Regulatory divergence on the cards?: President Trump continues to assert his desire to roll back regulation imposed after the financial crisis and dismantling the Dodd-Frank Act is high on his agenda. There are concerns that should it be repealed - either as a whole or in part - greater divergence could occur between the US and European securitisation markets, giving the US a competitive advantage...

Deal news
• Eastern Outfitters' chapter 11 bankruptcy filing could affect eight CMBS loans with a combined balance of US$134.1m. The largest exposure is the US$25.2m Blackstone Retail Loan securitised in WFCG 2015-BXRP, although strong occupancy for all affected properties is expected to mitigate the risk of default.
Invictus Residential Pooler is in the market with its debut securitisation (see SCI's pipeline). Following preliminary ratings from S&P, Kroll Bond Rating Agency and Morningstar Credit Ratings, it is the second shelf to issue a rated transaction backed by non-prime mortgages since the financial crisis.
• Mariner Finance has hit the market with an inaugural US$225m consumer finance securitisation. Dubbed Mariner Finance Issuance Trust 2017-A, the transaction comprises 89,914 non-prime/subprime secured and unsecured consumer loans.
• TGI Friday's is in the market with a US$450m whole business securitisation. Dubbed TGIF Funding, the transaction is backed by royalties from 849 franchise locations and 54 company-operated restaurants.
• Bank of Nova Scotia is in the market with its second Canadian auto receivables ABS, the US$752.68m Securitized Term Auto Receivables Trust 2017-1. The transaction is backed by 37,664 prime-quality retail instalment auto loan contracts secured by cars, SUVs and light-duty trucks.
• Patron Capital has purchased 63.31 million of ordinary shares in Punch Taverns at 180 pence per share through Vine Acquisitions, the bidco set up with Heineken UK to acquire Punch Securitisation A (SCI 22 December 2016). The shares became available after Emerald Investment Partners withdrew its rival offer for the pub operator last week.

Regulatory update
• The US District Court for the Southern District of New York last week ruled in favour of Lending Club in a putative class-action lawsuit alleging that the marketplace lender partnered with Utah-based WebBank to avoid the application of New York state interest rate limitations (SCI 6 May 2016). Moody's notes that the ruling is credit positive for ABS backed by consumer loans originated by online lenders that use a partner-bank origination model because a violation of usury laws could result in such loans being void or unenforceable, in whole or in part.
• The US Department of Education's (DOE) determination that more than 800 career-training programmes are failing gainful employment accountability standards is credit negative for outstanding ABS backed by private student loans, says Moody's. By contrast, it is actually credit positive for future securitisations.

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