Monday 13 November 2017 11:01 London/ 06.01 New York/ 19.01 Tokyo

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

Pipeline
There were even more additions to the pipeline last week than there had been in the week before. The new arrivals consisted of 18 ABS, eight RMBS, three CMBS and two CLOs.

The ABS were: US$221.2m Access Point Funding I 2017-A; US$560m Ally Auto Receivables Trust 2017-5; US$194m Aqua Finance Trust 2017-A; US$172.5m CIG Auto Receivables Trust 2017-1; US$755.5m CNH Equipment Trust 2017-C; US$263m Flagship Credit Auto Trust 2017-4; US$167.37m First Investors Auto Owner Trust 2017-3; Sfr300m First Swiss Mobility 2017-2; US$1.846bn Ford Credit Auto Owner Trust 2017-C; US$579.8m Harbour Aircraft Investments Series 2017; US$530m Juniper Receivables; US$801.49m MMAF Equipment Finance 2017-B; Orbita Funding 2017-1; US$750m Santander Retail Auto Lease Trust 2017-A; US$373.68m SCF Equipment Leasing 2017-2; US$585m Sprite 2017-1; US$175m Upstart Securitization Trust 2017-2; and €248m Wizink Master Credit Cards 2017-03.

The RMBS were: EDML 2018-1; US$141m Ellington Financial Mortgage Trust 2017-1; Grand Canal Securities 2; A$700m Liberty Series 2017-4 Trust; A$750m Medallion Trust Series 2017-2; NZ$250m Resimac Versailles Trust Series 2017-1; US$1.83bn Towd Point Mortgage Trust 2017-6; and US$253m Verus 2017-SG1.

CD 2017-C6, US$1bn GSMS 2017-GS8 and £347.929m Taurus 2017-2 UK were the CMBS. The CLOs were US$512m OHA Credit Partners XV and €351m St Paul's CLO VIII.

Pricings
It was by no means one-way traffic, as a significant number of deals also departed the pipeline. These consisted of 18 ABS, four RMBS, four CMBS and 14 CLOs.

The ABS were: US$1.3bn AmeriCredit Automobile Receivables Trust 2017-4; £315m Auto ABS UK Loans 2017; US$550m CARDS II Trust Series 2017-2; US$502m DLL Securitization Trust 2017-A; US$565m DriveTime Auto Owner Trust 2017-4; €142.5m Evora 2017-1; US$245m GoodGreen 2017-2; US$846m Hyundai Auto Lease Securitization Trust 2017-C; €336.6m IM EVO Finance 1; US$300m Laurel Road Prime Student Loan Trust 2017-C; US$250.152m Lendmark Funding Trust 2017-2; US$750.9m Navient Student Loan Trust 2017-6; US$343.65m NP SPE II Series 2017-1; £300m PCL Funding III; US$691m SoFi Consumer Loan Program 2017-6; US$1.2bn Toyota Auto Receivables 2017-D; US$480m WAVE 2017-1; and US$592m World Financial Network Credit Card Master Note Trust Series 2017-C.

US$865m Invitation Homes 2017-SFR2, US$343.51m MetLife Securitization Trust 2017-1, US$127.332m RCO 2017-INV1 and A$500m Triton Trust No.7 2017-2 were the RMBS. The CMBS were US$1.55bn Caesars Palace Las Vegas Trust 2017-VICI, US$250m CSMC Trust 2017-CALI, US$250m CSMS 2017-1A and US$1.47bn FREMF 2017-K69.

The CLOs were: US$1.208bn Antares CLO 2017-2; US$768.35m Apidos CLO XXVIII; €411m Aqueduct European CLO 2-2017; US$385.83m Atlas Senior Loan Fund 2013-1R; US$753m Atrium CDO 2015-12R; US$503m Barings Middle Market CLO 2017-1; €428m-equivalent Black Diamond CLO 2017-2; €361.2m Cairn CLO VIII; US$510m Carbone CLO 2017-1; US$478m Dryden Senior Loan Fund 2013-30R; US$461m Octagon 34; US$319m Saranac CLO 2014-2R; US$408.4m Steele Creek CLO 2017-1; and US$340m TIAA Churchill Middle Market CLO II.

Editor's picks
EMIR inaction could be 'grave': The risks from industry inaction regarding EMIR are "grave" and could have "serious negative consequences" on the European securitisation sector, according to Bank of America Merrill Lynch European securitisation analysts. Along with a recent ISDA whitepaper, they outline recommendations to limit the regulation's detrimental effect on the market...
NPL equity acquired: Hedge fund Elliott Management has acquired an equity piece in Attica Bank's non-performing loan securitisation, reducing the exposure of Aldridge EDC, the original investor (SCI 7 July). Details of the transaction have not been disclosed, but local industry sources and growing momentum in the Greek NPL market, suggest that Elliott coveted exposures to Greek assets...
Airline bankruptcy exposure gauged: A number of aircraft ABS have been impacted by the bankruptcy of several large carriers in Europe, with the Castlelake 2015 and 2016 transactions disproportionately affected, according to a new Deutsche Bank analysis. However, in most cases, narrow-body aircraft are expected to have little difficulty finding a new home - helping to mitigate the impact on investors in these deals...
AXA boosts risk transfer foothold: AXA IM's structured finance unit raised over €1bn in total commitments for the AXA IM Partner Capital Solutions VII fund at the end of September, following its launch in July 2017. The capital was raised from repeat and new clients and is the largest amount that AXA IM has raised for capital relief trades, reflecting an increased asset management foothold in the alternative credit space...

Deal news
• Aqua Finance is marketing its first public term securitisation. US$194m Aqua Finance Trust 2017-A is collateralised by a pool of retail instalment sale contracts and agreements primarily used for water treatment equipment and home improvements.
• Caesars Entertainment Operating Company emerged from bankruptcy last month. The restructuring of its affairs has resulted in the preparation of a CMBS - Caesars Palace Las Vegas Trust 2017-VICI - which is now marketing.
• DLL Finance, a Rabobank subsidiary, is in the market with an inaugural equipment ABS. Dubbed DLL Securitization Trust 2017-A, the US$501.5m transaction is backed by 24,080 loans and leases mostly originated by dealers to finance primarily agricultural equipment.
• An unusual US RMBS transaction is being marketed. The US$127.332m RCO 2017-INV1 RMBS is collateralised by residential rental mortgage loans.

Regulatory update
• The Australian Office of Financial Management has resumed its RMBS divestment programme, after putting it on hold two years ago, having failed to sell any assets in its fifth auction (SCI 5 November 2015). The Treasurer has determined that RMBS market conditions have improved sufficiently to warrant restarting the regular auction process.


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