Monday 19 August 2019 11:12 London/ 06.12 New York/ 19.12 Tokyo

A review of securitisation activity over the past seven days

Transaction of the week
CFO backed by PE portfolio (SCI 13 August)
Nassau Alternative Investments is marketing a collateralised fund obligation (CFO) comprising private equity (PE) fund commitments acquired by Nassau Life Insurance Company (NNY). The, largely static, transaction is dubbed Nassau 2019 CFO, and is backed by interests in a diversified pool totalling around US$375.7m in NAV of funded commitments and US$79.3m in unfunded capital commitments.

Fitch comments that the CFO portfolio is the most diversified the agency has rated and comprises 109, mainly US, funds managed by 69 fund managers, with 1,273 underlying investments, spread across strategy, vintage, managers, funds and underlying holdings. The agency adds that the portfolio diversification is counterbalanced by a focus on funds run by smaller and mid-sized managers and a higher allocation to third and fourth-quartile funds relative to other private equity CFO portfolios.

Stories of the week
Brexit impact gauged
UK ABS expected to withstand no-deal
Higher yields?
Bluestone debuts UK RMBS
STS mirage
Still no level playing field despite regulation
Tweaking tradition
Dutch securitisation evolving across established sectors

Other deal-related news

  • The Australian Office of Financial Management is inviting tender submissions for the provision of investment management services for the Australian Business Securitisation Fund (ABSF) by 6 September. The AOFM is seeking to appoint an investment manager to assist with the evaluation of investment proposals and provide ongoing portfolio management services (SCI 14 August).
  • Banca Monte dei Paschi di Siena has sold a further four non-performing loan portfolios for approximately €340m. The transactions are in addition to those recently finalised with Illimity Bank and Cerberus Capital Management (and brings the total of non-performing exposures sold by the bank since end-July to almost €1.5bn services (SCI 14 August).
  • LendInvest has received a £200m investment from National Australia Bank (NAB), in a deal "supported by HM Treasury", the firm says. LendInvest has now raised over £1.8bn of debt and equity from investors services (SCI 14 August).
  • GoldenTree Asset Management entity Star Insurance Holdings is set to acquire Syncora Holdings' New York financial guarantee insurance subsidiary Syncora Guarantee (SGI) for US$392.5m in cash, subject to adjustment. The cash purchase price for SGI represents a premium to the closing share price of Syncora's common stock on 1 March 2019, the trading day prior to the announcement of the strategic review process (SCI 15 August).
  • Dock Street Capital Management has been appointed replacement collateral manager to House of Europe Funding III. Under the provisions of an amendment to the collateral management agreement, Dock Street agrees to assume all the duties and obligations of the previous collateral manager Hypo Real Estate Bank (SCI 15 August).
  • Nord LB completed a landmark €2.6bn shipping non-performing loan deal with Cerberus in April that utilised Houlihan Lokey's proprietary pricing model. The model aids pricing tension and helps keep traditional distressed investors disciplined.(SCI 16 August)
  • Crescent Capital BDC is set to acquire Alcentra Capital Corp, a middle-market BDC. The transaction is the result of Alcentra Capital's previously announced review of strategic alternatives led by an independent director committee (SCI 16 August).
  • Moody's notes that Barney's bankruptcy filing on 6 August and store closures are credit negative for the two US CMBS Moody's rates with material exposure to the company, DBUBS 2011-LC2 and GSMS 2010-C1, though low loan leverage and the strong locations and demographics surrounding the properties backing the loans help limit these effects (SCI 16 August).
  • Roundstone Technologies (RTL) is contending that it has certain rights under a purported sale and purchase agreement in relation to the Business Mortgage Finance 6 securitisation. In particular, RTL purports to have purchased the loans outstanding and all monies standing to the credit of the issuer's bank accounts, and plans to take steps to perfect and transfer the full legal title and/or interest in the collateral security to an unspecified UK affiliate. However, the issuer says such an agreement has been declared by the court to be invalid and that it will, if appropriate, make an application to the high court for urgent relief, including preventing RTL from taking any further action  (SCI 16 August).
  • KBRA has downgraded the class A1 and class A2 notes of TGIF Funding 2017-1 from triple-B to triple-B minus. The rating agency states that TGI Friday's has been negatively impacted - like other businesses in the restaurant sector - by factors including a shift in consumer preferences and competition from lower-cost alternatives including fast casual dining, quick-serve restaurants, and other food service alternatives (SCI 16 August).

Data

Pricings

Deals that priced last week included:

ABS

American Credit Acceptance Receivables Trust 2019-3; Diamond Resorts Owner Trust 2019-1; Elara HGV Timeshare Issuer 2019-A; Flagship Credit Auto Trust 2019-3; Horizon Funding Trust 2019-1; Master Credit Card Trust II 2019-2; Primrose Funding 2019-1; Santander Drive Auto Receivables Trust 2019-3; Upgrade Receivables Trust 2019-2; World Omni Automobile Lease Securitization Trust 2019-B

CLO

Bain Capital Middle Market CLO 2019-1; Bain Capital Credit 2016-2 (refinancing); Cedar Funding X; Elevation CLO 2013-1 reset ; Guggenheim CLO 2019-1; HPS Loan Management 10-2016 (refinancing); Neuberger Berman Loan Advisers CLO 33; Sound Point CLO XIV (refinancing); Vibrant CLO IV 2016-4 (refinancing)

RMBS

BRAVO Residential Funding 2019-NQM1; New Residential Mortgage Loan Trust 2019-4; NRZ Advance Receivables Trust 2015-ON1 (Series 2019-T2); Ocwen Master Advance Receivables Trust Series 2019-T1; Ocwen Master Advance Receivables Trust Series 2019-T2; STACR 2019-FTR2

BWIC volume

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