Monday 14 August 2017 11:17 London/ 06.17 New York/ 19.17 Tokyo

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

Pipeline
Additions to the pipeline last week were balanced between ABS and CMBS. There were five of each, as well as three RMBS and a CRE CLO.

The ABS were: US$1.1bn Ally Auto Receivables Trust 2017-4; US$223m Flagship Credit Auto Trust 2017-3; US$888.7m GMF Floorplan Owner Revolving Trust Series 2017-2; US$1.382bn Nissan Auto Receivables 2017-B Owner Trust; and US$335m Prestige Auto Receivables Trust 2017-1.

US$1.07bn CAS Series 2017-C06, JPMMT 2017-3 and US$355.4m Sequoia Mortgage Trust 2017-6 accounted for the RMBS. The CRE CLO was US$314.4m Bancorp 2017-CRE2.

The CMBS were: US$350m BXP Trust 2017-CC; US$941.58m Citigroup Commercial Mortgage Trust 2017-B1; US$1.1bn GSMS 2017-GS7; US$477.8m MSSG Trust 2017-237P; and US$708.6m UBS 2017-C3.

Pricings
Issuance was concentrated on ABS. There were eight ABS prints and a further three RMBS.

The ABS were: CNY3.67bn Bavarian Sky China 2017-2; US$1.3bn Discover Card Master Trust 2017-6; US$442.78m DT Auto Owner Trust 2017-3; US$525m Golden Credit Card Trust Series 2017-4; US$907m Hyundai Auto Receivables Trust 2017-B; US$350m MVW Owner Trust 2017-1; CNY2.52bn VINZ 2017-2 Retail Auto Loan Securitization Trust; and US$400m World Financial Network Credit Card Master Note Trust Series 2017-B.

The RMBS were: US$2.47bn Freddie Mac SCRT Series 2017-2; US$1.296bn Towd Point 2017-4; and US$495m Tricon American Homes 2017-SFR1.

Editor's picks
Refi SLABS seeing product, borrower expansion: Refinanced student loan ABS (SLABS) has grown to become a defined sector within student lending, making up a third of total US SLABS volume. With this growth, lenders are expanding across a range of measures - including loan and borrower type - and new competitors continue to enter the space...
Best execution requirements assessed: MiFID 2, due to be implemented across the EU by 3 January 2018, will have a far-reaching impact on the continent's financial markets, not least ABS. While the new rules will reshape banks' relationships with their customers in many ways, two of the most pressing are the unbundling of research and proving best execution...
Highly concentrated Trups CDOs see mezz recovery: Trups CDOs remain an attractive source of capital for community bank issuers, but ratings are increasingly reliant on the largest obligors. Trups deals are expected to largely remain outstanding until legal maturity, with redemptions driven by idiosyncratic factors specific to issuers...
Subprime auto subs hit record tights: US subprime auto ABS are pricing at the tightest spreads on record in the face of strong investor demand. The trend is occurring across the capital structure, most recently exemplified by Westlake Automobile Receivables Trust 2017-2, the subordinate tranches of which last week printed at the tightest levels ever for the sector...

Deal news
• Bancorp Bank is marketing a US$314.4m static commercial real estate CLO, backed by 24 floating-rate commercial mortgage loans secured by 31 properties. The transaction, dubbed Bancorp 2017-CRE 2, is structured as a REMIC trust and features several innovations, including not permitting a ramp-up or the acquisition/reinvestment of assets post-closing. The sponsor is also expected to sell the risk retention-compliant first-loss position to a third party.
Fannie Mae has priced its first GeMS REMIC backed exclusively by green MBS collateral. The issuance is the first of its kind in the market and builds on the GSE's previous US$1bn FNA 2017-M2 transaction, which was backed by 30 loans originated under the Fannie Mae green financing business and securitised as green DUS MBS (SCI 16 February).
• The IBRD has priced a series of catastrophe bonds that will provide the Mexican Fund for Natural Disasters (FONDEN) with innovative parametric coverage of up to US$360m. The ILS were issued across three tranches with exposure to three types of disasters - earthquakes (CAR 113 notes), Atlantic tropical cyclones (CAR 114) and Pacific tropical cyclones (CAR 115).
• Solidum Re has launched what is believed to be the first-ever catastrophe bond to have been digitised on a private blockchain. Named the ILSBlockchain, this mechanism has replaced the role of a traditional settlement system for the note issuance.

Regulatory update
• The US SEC's division of economic and risk analysis (DERA) has published a report assessing how trends in primary securities issuance and secondary market liquidity relate to post-crisis regulatory reforms, in line with a Congress request under the 2016 appropriations process. The analysis - which spans 2005-2016 - shows that overall ABS (excluding RMBS) issuance has recovered since the trough of 2010, with the volume of private offerings being slightly larger than the volume of registered ones following the financial crisis, a reversal from the pre-crisis period.


×