SCI Start the Week - 20 February

Category: ABS CDO CLOs


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

Pipeline
There were eight ABS additions to the pipeline last week. These were joined by three RMBS and a CMBS.

The ABS were: US$209m American Credit Acceptance Receivables Trust 2017-1; US$325.6m CNH Capital Canada Receivables Trust 2017-1; US$1.08bn Ford Credit Auto Owner Trust 2017-REV1; US$350m Hilton Grand Vacations Trust 2017-A; US$759m John Deere Owner Trust 2017; US$500m Kabbage Asset Securitization Series 2017-1; US$1.08bn Santander Drive Auto Receivables Trust 2017-1; and US$343.7m SoFi Consumer Loan Program 2017-2.

Finsbury Square 2017-1, €407.1m Grecale 2015 (re-offer) and £233m Stanlington 1 accounted for the RMBS. The CMBS was US$1.4bn FREMF 2017-K62.

Pricings
After weeks of building up in the pipeline, the weekly volume of ABS prints leapt last week, to 14. There were also four RMBS and two CMBS as well as 10 CLOs, with refis once again accounting for a significant proportion.

The ABS were: US$650m Ally Master Owner Revolving Trust Series 2017-1; US$2.4bn American Express Credit Account Master Trust Series 2017-1; US$700m American Express Credit Account Master Trust Series 2017-2; US$930m AmeriCredit Auto Receivables Trust 2017-1; C$400m BMW Canada Auto Trust 2017-1; US$350m Credit Acceptance Auto Loan Trust 2017-1; A$2.15bn Crusade ABS Series 2017-1 Trust; US$225m First Investors Auto Owner Trust 2017-1; US$1bn Golden Credit Card Trust Series 2017-1; A$266m Flexi ABS Trust 2017-1; US$255.2m Mariner Finance Issuance Trust 2017-A; €1.5bn Quarzo 2017; US$255m SCF Equipment Leasing 2017-1; and US$724.06m Volvo Financial Equipment Series 2017-I.

The RMBS consisted of US$266m Bayview Opportunity Master Fund IVb Trust 2017-CRT1, €1.136bn FCT Credit Agricole Habitat 2017, US$752.5m STACR 2017-HQA1 and US$145m Verus Securitization Trust 2017-1. The CMBS were US$1bn FNA 2017-M2 and US$975m OMPT 2017-1MKT.

Lastly, the CLOs were: US$896.8m Ares 2014-31R; US$407m Apidos CLO 2013-15R; US$493m Birchwood Park CLO 2014-1R; US$431.5m CIFC CLO 2013-4R; US$411.38m Golub Capital Partners CLO 34; US$613.16m LCM Partnership 2017-1; US$490.25m MP CLO V; US$397m NewStar Commercial Loan Funding 2017-1; US$522m Symphony CLO 2014-15R; and US$666m Venture CDO 2012-12R.

Editor's picks
Shifting dynamics spur CMBS prepays: The €1bn Woba loan was successfully prepaid in full this week, confirming growing speculation that the Taurus 2013-GMF1 CMBS' days were numbered. Far from being an isolated incident, the move illustrates how broken the relationship between CMBS and other debt capital markets has become...
Italian mixed NPL portfolio added: AnaCap Financial Partners is set to acquire a €177m portfolio of Italian performing and non-performing corporate secured loans from Barclays. The transaction is the latest in a flurry of Italian mixed portfolio acquisitions through which the private equity firm has developed valuation expertise...
Capital charges to drive out banks?: Securitisation amendments to the Capital Requirements Regulation (CRR) are currently being discussed. With the new capital charges likely to trigger capital cliffs, Bank of America Merrill Lynch analysts suggest that bank investors may be put off the market...
Refi wave puts WAS under stress: US CLO portfolio weighted average spread (WAS) is decreasing due to the ongoing wave of refinancings across the sector. The number of CLOs failing WAS tests is rising as a result...
CPACE partnership to leverage ABS: Renovate America and Greenworks Lending have formed a national partnership to offer commercial PACE financing through the HERO securitisation programme in Missouri, allowing both firms to leverage considerable synergies. The two firms plan to expand their CPACE partnership to all states where the HERO programme operates, including California and Florida, later this year...

Deal news
• Fannie Mae has priced its first green REMIC tranches as part of a multifamily DUS transaction. The US$1bn FNA 2017-M2 is the GSE's second multifamily DUS REMIC in 2017 under its GeMS programme, but the deal is unique in that two tranches are backed by 30 loans originated under the Fannie Mae green financing business and securitised as green DUS MBS.
• Crédit Agricole has priced a rare publicly placed French prime RMBS named FCT Crédit Agricole Habitat 2017. Elsewhere, Fortress subsidiary Paratus AMC is in the market with the £233.23m Stanlington No. 1, a UK non-conforming RMBS.
American Express has returned to the ABS market after an 18-month absence with a pair of credit card securitisations accounting for US$1.15bn [since upsized - see above] of paper. The move comes after approximately US$5.5bn was placed by four other credit card issuers in January (see SCI's primary issuance database).
• JPMorgan is tapping the RMBS market with a US$1.02bn transaction. Dubbed JPMorgan Mortgage Trust 2017-1, the deal is backed by 1,645 30-year fully-amortising fixed-rate mortgage loans with different origination characteristics to previous JPMMT RMBS.
• AlphaCat Managers and Terra Brasis Resseguros have completed a US$5m private catastrophe bond-lite. Dubbed Alpha Terra Validus I, the transaction is believed to be the first offering of Latin American reinsurance risk on an indemnity basis and is the first cat bond sponsored by a Brazilian company.
• Bank of Queensland last week priced its upsized A$1bn Series 2017-1 REDS Trust prime RMBS, the first Australian securitisation to hit the market in 2017, with the senior tranche seeing significant demand. Four transactions from the jurisdiction remain in the pipeline, including a non-conforming RMBS and a consumer ABS (see SCI's pipeline).
• A Paramount Group Operating Partnership and Blackstone Property Partners JV is the sponsor of the latest US single-borrower CMBS to hit the market. The US$975m OMPT 2017-1MKT is secured by the One Market Plaza building, a Class-A office complex located in San Francisco's South Financial District.

Regulatory update
• Following US Treasury Secretary Mnuchin's commitment to reform the GSEs, the Mortgage Bankers Association (MBA) has published proposals as to how this can be best executed. While the recommendations - entitled 'GSE Reform Principles and Guardrails' - may improve on the current system, further clarity on certain areas may be needed if they are to be successful.

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