SCI Start the Week - 15 May

Category: ABS CDO CLOs


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

Pipeline
There was a bit more variety to the pipeline's additions last week, although ABS once again led the charge. There were 10 ABS deals added to the list, along with a further four ILS, two RMBS and five CMBS.

The ABS were: US$1.05bn Ally Auto Receivables Trust 2017-3; US$575m ARI Fleet Lease Trust 2017-A; CNY3.111bn Autopia China 2017-1 Retail Auto Mortgage Loan Securitization; US$500m Barclays Dryrock Issuance Trust Series 2017-1; Bavarian Sky Compartment Germany 6; US$440m Five Guys Funding Series 2017-1; €1.1bn IM Grupo Banco Popular Leasing 3; PCL 2017-1; CNY4bn Rongteng 2017-2 Retail Auto Mortgage Loan Securitization; and CNY3bn Toyota Glory 2017-1.

US$250m Alamo Re 2017-1, US$100m Casablanca Re Series 2017-1, Riverfront Re 2017-1 and US$375m Sanders Re 2017-2 were the ILS, while the two RMBS were IDOL 2017-1 and A$342.6m Liberty Series 2017-2 Trust. The CMBS consisted of: US$500m 245 Park Avenue Trust 2017-245P; US$644.66m CFCRE 2017-C8; US$805m Hospitality 2017-HIT; US$143m NCMS 2017-75B; and US$480m Olympic Tower 2017-OT.

Pricings
The prints were once again divided between ABS and CLOs, with a couple of RMBS and CMBS thrown into the mix.

The ABS were: US$1.3bn AmeriCredit Automobile Receivables Trust 2017-2; A$495m Driver Australia Four; US$442.41m DT Auto Owner Trust 2017-2; US$515m Nissan Master Owner Trust Receivables Series 2017-A; US$760m Nissan Master Owner Trust Receivables Series 2017-B; US$530m SoFi Consumer Loan Program 2017-3; US$420m Textainer Marine Containers V 2017-1; US$1.75bn Toyota Auto Receivables 2017-B Owner Trust; and CNY3.4bn VINZ 2017-1.

RUB7.4bn Mortgage Agenct Vozrozhdenie 5 and US$2.28bn Towd Point Mortgage Trust 2017-2 were the RMBS. The CMBS were US$272m CSMC Trust 2017-LSTK and US$702.57m MSBAM 2017-C33.

The CLOs were: US$483.45m AIMCO 2014-AR; €411m Aqueduct European CLO 2; €353.7m Dryden Leveraged Loan CDO 2014-35R; US$493.8m KVK CLO 2015-1R; US$570.95m LCM Partnership 2014-15R; US$660.96m Octagon Investment Partners XIV 2012-1R; US$666.9m Palmer Square CLO 2015-1R; and €415.12m Weser Funding Compartment No.1.

Editor's picks
Landmark portfolio guarantee inked: The EIF has agreed to guarantee 50% of a €5.52bn Spanish SME credit portfolio originated by nine Spanish banking groups. Dubbed the SME Initiative Uncapped Guarantee Instruments (SIUGI) for Spain, the deal is a bespoke EU-sponsored risk transfer transaction (see SCI's capital relief trades database)...
Equity holds the cards amid heavy refinancings: While buoying European CLO deal volumes, refinancings and resets are not always favoured by senior investors that have little control over the resultant reduced margin and amended deal terms. However, if navigated adequately by the equity holders, European CLO investors across the capital stack can benefit from the refinancing/reset process and new investors continue to be drawn to the asset class...
Floaters beat ARMs in a bear flattener: Yield curve flattening and a rapid increase in prepayments on post-reset adjustable rate mortgages (ARMs) are expected as US interest rates rise. As such, certain floating-rate products - including SBA floaters, CMO floaters and agency CMBS - could become more attractive in the next 12-18 months...
Letter opposes Lehman proposal: Lawyers from Kasowitz Benson Torres, representing an investor group holding certificates issued by RMBS trusts with claims in the Lehman Brothers bankruptcy, have expressed concern over a proposed US$2.4bn settlement. The case is one of the few remaining put back disputes arising from pre-crisis RMBS and one of the last remaining Lehman bankruptcy cases...
Euro CLOs diverted: A busy primary market is diverting focus away from the European CLO secondary market this week. "It's much quieter this week as we're being dominated by primary," says one trader. "There, shorter dated triple- and double-As are drifting wider, but that's not yet feeding through into secondary spreads..."

Deal news
• Palomar Specialty Insurance Company has successfully closed its first cat bond obtaining protection against catastrophe perils. Torrey Pines Re Series 2017-1 is a US$166m ILS providing the insurer with US earthquake, named storm and thunderstorm reinsurance protection.
• Five Guys Enterprises has become the latest company to bring a whole business securitisation. The US$440m Five Guys Funding transaction is secured by most of its revenue-generating assets in the US and Canada.
• Groupe Eurotunnel is set to refinance its Channel Link Enterprises Finance (CLEF) whole business securitisation, as part of an ongoing strategy to optimise the structure of its debt and to reduce the cost of its debt service. The company proposes to issue up to €2bn-equivalent senior subordinated variable and fixed-rate notes, split across a number of tranches due in 2050.
Textainer Equipment Management is in the market with the latest container ABS. The deal's arrival comes as part of a flurry of activity in the sector, which is riding high on a rebound in shipping container prices.

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