SCI Start the Week - 17 July

Category: ABS CDO CLOs


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

Pipeline
Pipeline activity stepped up again last week. The additions consisted of eight ABS, an ILS, five RMBS and four CMBS.

The ABS were: US$1.375m CarMax Auto Owner Trust 2017-3; US$748m CNH Equipment Trust 2017-B; US$225m CPS Auto Receivables Trust 2017-C; C$460m Ford Floorplan Auto Securitization Trust Series 2017-F1; US$700m Kubota Credit Owner Trust 2017-1; US$1.02bn Navient Student Loan Trust 2017-4; US$551m SoFi Professional Loan Program 2017-D; and US$512.2m Wheels SPV 2 Series 2017-1.

US$290m Fonden Series 2017-1 was the ILS. The RMBS were: Charter Mortgage Funding 2017-1; US$1.143bn Connecticut Avenue Securities Series 2017-C05; Dutch Property Finance 2017-1; Freddie Mac Whole Loan Securities Trust Series 2017-SC02; and US$370m Progress Residential 2017-SFR1.

The CMBS were: US$933m BANK 2017-BNK6; US$125.7m CSMC Trust 2017-MOON; US$634.6m JPMCC 2017-JP7; and US$150m West Town Mall Trust 2017-KNOX.

Pricings
There was also a considerable uptick in deals departing the pipeline, with CLOs accounting for more than half of the activity. The final count consisted of five ABS prints, an ILS, four RMBS, two CMBS and 13 CLOs.

The ABS were: €365m-equivalent Bavarian Sky Europe Compartment Swiss Auto Leases 2; €527m Elrond NPL 2017; US$227m First Investors Auto Owner Trust 2017-2; US$1bn GM Financial Consumer Automobile Receivables Trust 2017-2; and US$857.23m John Deere Owner Trust 2017-B. The ILS was US$100m Fortius Re II Series 2017-1.

£412m Finsbury Square 2017-2, US$370m Progress Residential 2017-SFR1, US$784.33m Towd Point Mortgage Trust 2017-3 and £296m Twin Bridges 2017-1 accounted for the RMBS. The CMBS were US$1.1bn FREMF 2017-K65 and US$285m MSDB 2017-712F.

The CLOs consisted of: US$371m AMMC CLO XIV 2014-14R; €466.25m Babson Euro CLO 2017-1; US$351m BlueMountain CLO 2013-13R; US$563.5m Carlyle Global Market Strategies 2015-1R; US$372m CVP CLO 2017-1; US$600m Hempstead CLO 2017-2; US$461m LCM Partnership 2017-25; US$510m Mountain View CLO 2017-1; US$322m Silver Creek CLO 2014-1R; €327m St Pauls CLO V 2014-5R; US$441.75m Telos CLO 2013-3R; US$408.6m TWC CLO 2017-1; and US$307m Vibrant CLO 2013-2R.

Editor's picks
Final STS document welcomed: The European Parliament's economic and monetary affairs committee has approved, as expected, the new STS securitisation framework by a substantial majority. The final document indicates an overall positive impact for the securitisation market, although the lack of a third-party regime and complex grandfathering provisions may constrain issuance in post-Brexit UK and the EU respectively...
Demand drives Euro CLO portfolio loosening: With demand for high-yielding assets outstripping supply, more European CLOs are being issued with atypical, looser portfolios. While investors may be taking on greater risk as a result, spreads are not reflecting this, leaving some wondering whether the compensation is adequate...
Servicer consolidation boosts NPL recoveries: The Italian servicing industry is experiencing a strong growth trend. Italian non-performing loan recoveries are expected to benefit as a result...
Ratings reviewed for payment disruption risk: Fitch and Moody's have placed a slew of US RMBS classes on rating watch negative, after Wells Fargo withheld trust funds to reserve against future expenses it may incur to defend itself against litigation (SCI 3 July). The actions are primarily due to the trustee's allocation of losses following transaction clean-up calls, which resulted in noteholders failing to receive expected payments...

Deal news
• Credit Valtellinese and Credit Siciliano have tapped the market with their first Italian non-performing loan securitisation. Dubbed Elrond NPL 2017, the €526.6m transaction is backed by an NPL portfolio with a gross book value (GBV) of €1.405bn, of which €30.8m is cash in court.
• JPMorgan and Column Financial are in the market with a US$150m CMBS. West Town Mall Trust 2017-KNOX is backed by a commercial mortgage loan secured by the largest enclosed mall in Tennessee.
• GC Securities has priced the first 144A catastrophe bond that provides indemnity protection against multiple European perils and the first to cover European flood. The €200m Lion II Re transaction provides Assicurazioni Generali with four years of per occurrence cover against windstorms and floods affecting selected European countries, as well as earthquakes affecting Italy.
• Citi and Morgan Stanley are in the market with an unusual US$706.7m CMBS sponsored by Madison International Realty and DDR. Dubbed CGMS 2017-MDDR, the transaction is backed by three separate loans, each secured by a portfolio of predominantly grocery-anchored retail properties located across nine US states.

Regulatory update
• The European Commission has launched a public consultation regarding initiatives to facilitate the development of a non-performing loan secondary market. Together with gathering targeted input on improving loan transfers and servicing activities, the consultation introduces a potential new instrument - dubbed the accelerated loan security - that aims to increase the protection of secured creditors from borrower defaults.

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