SCI Start the Week - 19 June

Category: ABS CDO CLOs


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

Pipeline
A rush of ABS deals joined the pipeline last week, picking up from the limited activity of the week before. As well as eight new ABS, a further five CMBS and a CLO were added.

The ABS were: US$450m Credit Acceptance Auto Loan Trust 2017-2; US$1.38bn Drive Auto Receivables Trust 2017-1; US$750m Enterprise Fleet Financing 2017-2; US$1.3bn Ford Credit Auto Owner Trust 2017-B; US$208.65m GLS Auto Receivables Trust 2017-1; US$1.317bn Honda Auto Receivables 2017-2; €1.192bn Silver Arrow Compartment 8; and Ulisses Finance No.1.

US$2.3bn BXG Trust 2017-GM, US$889m CSMC 2017-CHOP, US$438m LCCM Series 2017-LC26, C$359.74m Real Estate Asset Liquidity Trust 2017-1 and US$500m Rosslyn Portfolio Trust 2017-ROSS constituted the CMBS. The CLO was €642.6m Carlyle Euro CLO 2017-2.

Pricings
The week's prints were largely split between ABS and CLOs. There were seven of the former and 13 of the latter, with an ILS, two RMBS and a CMBS rounding things out.

The ABS were: US$279.38m Consumer Underlying Bond Credit Trust 2017-NP1; US$2.075bn Domino's Pizza Master Issuer Series 2017-1; US$162.23m Massachusetts Educational Financing Authority Issue K Series 2017; €600m SC Germany Auto 2017-1; US$163.1m Upstart Securitization Trust 2017-1; US$1.3bn Verizon Owner Trust 2017-2; and US$149m Welk Resorts 2017-A.

US$430m Spectrum Capital Series 2017-1 was the ILS, while the RMBS were US$350m Sequoia Mortgage Trust 2017-4 and US$787.5m STACR 2017-HQA2. The CMBS was US$1.1bn DBJPM 2017-C6.

The CLOs consisted of: US$510m Bain Capital Credit CLO 2017-1; US$465m Benefit Street Partners CLO 2013-2R; €324.4m Contego CLO IV; US$376.2m Greywolf CLO IV 2014-2R; €368.25m Harvest CLO 2015-11R; US$612m Jamestown CLO 2017-10; US$616m LCM 2014-16R; US$324.8m MCF CLO 2017-2; US$411m Regatta III Funding 2014-1R; US$513.75m TICP CLO 2017-7; US$506m Trestles CLO 2017-1; US$587m Venture XXVIII; and US$607.4m Voya CLO 2017-3.

Editor's picks
Prosecutors probe valuations process: US prosecutors, after years spent studying the sell-side, appear to be turning their attentions to the buy-side, as investigations have begun into whether structured credit hedge funds inflated the value of debt securities for their portfolios. The probe is particularly concerned with whether brokers were encouraged to give dishonest valuations for month-end marks...
STS could take a year, but optimism prevails: The implementation of the STS securitisation framework is unlikely to be completed within a year, according to panellists at the recent IMN Global ABS conference. However, speakers on a regulatory panel emphasised that while it may take time to finalise the finer details, optimism is strong that the long-awaited clarity on STS could provide a much needed boost to the industry in Europe...
Spanish EFSI deal debuts: The EIF has closed its second European Fund for Strategic Investments (EFSI) deal, providing BBVA with a €143bn mezzanine guarantee facility. The transaction references a €3bn portfolio of Spanish SME loans and is the first Spanish synthetic securitisation under the Investment Plan for Europe...
Treasury reports on regulatory impact: The US Treasury has issued a first report in a series regarding regulation of the financial system in a manner consistent with an executive order issued by President Trump back in February. The report addresses the regulation of the depositary system and makes several findings and recommendations which could impact the future regulation of securitisations...
US CLO demand continues: Demand for paper across the capital structure continues unabated in the US CLO secondary market. "There's not a whole lot going on right now," says one trader. "However, we are still seeing good demand across the board..."

Deal news
• Lending Club in in the market with a US$279.38m ABS backed by near-prime unsecured consumer loans originated via its online lending platform (see SCI's deal pipeline). Dubbed Consumer Loan Underlying Bond Credit Trust 2017-NP1 (CLUB 2017-NP1), it is the first transaction the platform itself has sponsored.
Freddie Mac has launched a new series of credit risk transfer securities backed by tax-exempt loans (TELs) made by state or local housing agencies and secured by affordable rental housing. The first issuance has already priced and includes around US$292m in ML certificates backed by TELs on 25 properties.
• US dollar-denominated notes backed by Chinese regional and local government (RLG) bonds have debuted in China and provide a new opportunity for offshore investment in securities traded on China's interbank bond market. Moody's believes further similar deals backed by Chinese collateral could follow, including CLOs, ABS and RMBS.

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