SCI Start the Week - 2 October

Category: ABS CDO CLOs

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

It was a busy week of comings and goings for the pipeline. At the close of Friday, 11 new ABS remained on the list, along with five RMBS, a CMBS and six CLO/CDOs.

The ABS were: US$1.48bn Business Jet Securities 2017-1; US$523m-equivalent Canadian Pacer Auto Receivables Trust 2017-1; US$206.65m Diamond Resorts Owner Trust 2017-1; US$128.95m Dividend Solar Loans 2017-1; US$400m Ford Credit Floorplan Master Owner Trust A Series 2017-3; US$1bn GM Financial Consumer Automobile Receivables Trust 2017-3; Newday Partnership Funding 2017-1; US$1.5bn Nissan Auto Lease Trust 2017-B; US$200m Oportun 2017-B; Sunrise 2017-2; and CNY3.5bn VINZ 2017-3 Retail Auto Loan Securitization Trust.

The RMBS were: US$119.5m Bayview Koitere Fund Trust 2017-RT4; US$512.45m CIM Trust 2017-7; US$119.5m Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-3; US$400m Nationstar HECM Loan Trust Asset-Backed Notes Series 2017-2; and US$350.4m Sequoia Mortgage Trust 2017-7. The CMBS was US$705.4m WFCM 2017-C40.

The CLOs and CDOs consisted of: €313.5m Adagio IV CLO; Barings Euro CLO 2017-2; US$712.9m Benefit Street Partners CLO XII; US$200m Cerberus Loan Funding XX; US$2.617bn Colonnade Global 2017-1; and US$340.4m Trups Financials Notes Securitization 2017-2.

There was also a long list of deals departing the pipeline, not least a significant number of CLOs boosted by a considerable number of refis. There were six ABS prints along with another six RMBS and six CMBS, as well as 19 CLOs.

The ABS were: €1.075bn Bavarian Sky German Loans 7; US$1.3bn Citibank Credit Card Issuance Trust 2017-A9; €1.55bn Diaz Securitisation 2017; US$926.25m Honda Auto Receivables 2017-3 Owner Trust; €435m Marzio Finance 2017-1; and US$750m Securitized Term Auto Receivables Trust 2017-2.

The RMBS were: €2.075bn Dolphin Master Issuer 2017-1; £500m Holmes Master Issuer 2107-1; €1.276bn Green Apple 2017-1; US$366.6m Mill City Mortgage Loan Trust 2017-3; the re-offered €597m Popolare Bari RMBS 2017; and US$771m Starwood Waypoint Homes 2017-1.

The CMBS were: US$1.2bn BANK 2017-BNK; US$283m COMM 2017-DLTA; US$1bn Great Wolf Trust 2017-WOLF; GS Mortgage Securities Corporation Trust 2017-375H; US$1.2bn STACR Series 2017-DNA3; and US$818.3m UBS 2017-C4.

The CLOs were: US$406.25m Assurant CLO I 2017-1; €361.2m Cairn CLO VIII; US$590.5m CIFC Funding CLO 2013-2R; US$351.4m Crown Point CLO 2015-3R; US$147.84m Crown Point CLO II 2013-2R; US$305.7m Deer Creek CLO 2017-1; US$323m Denali Capital CLO X 2013-1R; US$637m Dryden Senior Loan Fund 2012-25R; US$1.02bn Gilbert Park CLO 2017-1; US$780.13m Golub Capital Partners CLO 18(M)-R 2014; €375m Harvest CLO XII 2012-R; US$690m Madison Park Funding CLO XVIII 2015-18; US$400m MCF CLO 2014-1R; US$932.9m OCP CLO 2014-6R; €413m Penta CLO 2017-3; €532m Richmond Park CLO 2013-1R; US$460m Romark CLO 2017-1; US$811.9m Sound Point XVII 2017-3; and US$407.6m TICP CLO 2017-8.

Editor's picks
New issue CLOs preferable?: US CLO relative value discussions often focus on tranche level - where triple-A paper continues to be the consensus pick, despite spread tiering at the top of the US CLO capital structure compressing dramatically - but the case for new issue CLOs over seasoned paper is made less often. In current conditions, however, vintage could be a particularly relevant factor...
ReoCos boost Italian NPL prospects: The Italian parliament recently approved new amendments to the Italian securitisation law, aimed at improving recoveries of non-performing loans and at facilitating disposals of NPLs by banks, including non-performing lease receivables. Along with a stronger macroeconomic environment, the measures are expected to help boost the liquidity of real estate asset disposals...
Standardisation to bridge synthetic STS gap?: The EBA's recent discussion paper on significant risk transfer (SRT) outlines the common structural features of risk transfer transactions in an attempt to harmonise their regulation and supervision (SCI 20 September). The move ultimately may bring the CRR regulation closer to extending the STS label to synthetic securitisations...

Deal news
• Global Jet Capital is marketing an inaugural US$1.48bn aircraft ABS. Dubbed Business Jet Securities Secured Note Series 2017-1, the transaction is supported by a portfolio of 181 business jet aircraft, representing 154 obligors, with a remaining term of approximately 62.1 months.
• Dividend Finance is in the market with its first term ABS securitisation collateralised by secured residential consumer solar loans. The transaction, Dividend Solar Loans 2017-1 (see SCI's deal pipeline), will issue three classes of notes in an aggregate principal amount of US$128.95m.
• Bank of Montreal is marketing an inaugural auto securitisation, called Canadian Pacer Auto Receivables Trust 2017-1 (see SCI's deal pipeline). The ABS is backed by 42,258 prime retail instalment auto loan contracts and is another first for the bank after debuting the first RMBS sponsored by a major Canadian bank earlier this year (SCI 18 April 2017).
• CFG Holdings is in the market with a consumer ABS backed by a pool of local currency fixed-rate personal loans originated by its subsidiaries in Panama, Aruba, Curaçao and Bonaire. Dubbed CFG Investments 2017-1, the US$222m securitisation features a Cayman Islands SPV as note issuer and a borrower SPE in each jurisdiction.

Regulatory update
• A ruling by the UK High Court could have significant implications for trustees, potentially redefining their role in securitisation. The court's ruling confirms that a trustee cannot outsource decision making and must take responsibility for exercising the discretion that deal documents allow them, although questions do remain.
The Fed announced last week that it would unwind the System Open Market Account (SOMA) balance sheet, starting next month. This is part of a range of measures suggesting a tightening of monetary policy, in which case investors may wish to prepare for a flattening in the US yield curve, with several trade options available.