SCI Start the Week - 20 November

Category: ABS CDO CLOs

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

There were considerably fewer ABS added to the pipeline last week as additions became more evenly distributed. There were six new ABS announced, as well as five RMBS, eight CMBS and seven CLOs.

The ABS were: CNY3.5bn Driver China Eight; €530m Ginkgo Compartment Sales Finance 2017-1 (re-offer); US$1bn Honda Automobile Receivables 2017-4 Owner Trust; CNY4bn Huitong 2017-1 Retail Auto Mortgage Loan Securitization Trust; CNY3bn Toyota Glory 2017 Phase II; and Volta V.

The RMBS were: US$210.16m Angel Oak Mortgage Trust I 2017-3; €1.458bn BBVA RMBS 18 FT; US$671.69m JPMMT 2017-5; Pepper Prime 2017; and US$271.09m Progress Residential 2017-SFR2.

The CMBS were: US$540m BBCMS 2017-GLKS; US$273.7m BX Trust 2017-CQHP; US$696.7m CCUBS 2017-C1; US$855.3m CSAIL 2017-CX10; US$427m MSC 2017-ASHF; US$700m MSCI Trust 2017-CLS; US$258.5m Velocity Commercial Capital 2017-2; and US$785.9m WFCM 2017-C41.

The CLOs were: US$440.7m BSPRT 2017-FL2; US$610.53m Golub Capital I Partners CLO 23(B)-R; €301.45m Halcyon Loan Advisors European Funding 2017-2; £4.3bn Nightingale Securities 2017-1; €418.7m Oak Hill European Credit VI; US$611.45m OCP CLO 2017-14; and US$259.8m RAIT 2017-FL8.

A long list of ABS deals departed the pipeline. As well as 16 ABS prints there were also seven RMBS, a CMBS and two CLOs.

The ABS were: US$221.2m Access Point Funding I 2017-A; US$500.3m Ally Auto Receivables Trust 2017-5; US$172.5m CIG Auto Receivables Trust 2017-1; US$755.5m CNH Equipment Trust 2017-C; A$329.3m Eclipx Turbo Series 2017-1; US$167.37m First Investors Auto Owner Trust 2017-3; Sfr300m First Swiss Mobility 2017-2; US$263m Flagship Credit Auto Trust 2017-4; US$1.846bn Ford Credit Auto Owner Trust 2017-C; US$612.24m MMAF Equipment Finance 2017-B; £310m Orbita Funding 2017-1; US$1.04bn Santander Retail Auto Lease Trust 2017-A; US$301.85m SCF Equipment Leasing 2017-2; US$175m Upstart Securitization Trust 2017-2; US$373.8m Volvo Financial Equipment Master Owner Trust Series 2017-A; and €248m Wizink Master Credit Cards 2017-03.

The RMBS were: US$1.2bn CAS 2017-C07; US$141m Ellington Financial Mortgage Trust 2017-1; A$1.2bn Liberty Series 2017-4 Trust; A$2.649bn Medallion Trust Series 2017-2; US$320.3m Sequoia Mortgage Trust 2017-CH2; US$1.83bn Towd Point Mortgage Trust 2017-6; and US$253m Verus 2017-SG1.

US$1.062bn CD 2017-CD6 was the CMBS. The CLOs were US$512.25m OHA Credit Partners XV and €351m St Paul's CLO VIII.

Editor's picks
Middle market boost?: Two significant trends are emerging in middle market CLOs that are expected to boost diversity across the sector. However, it remains unclear whether these developments will ultimately translate into increased volumes...
Call for increased standardisation: Ahead of the EBA's public hearing tomorrow on its significant risk transfer (SRT) discussion paper (SCI 28 September), SCI undertook a straw poll of industry opinion on the document. The exercise revealed an overall positive response, although some areas for improvement were highlighted, especially regarding transaction standardisation...
Mortgage ILS breaks new ground: Arch Capital Group recently closed its first public rated mortgage ILS (SCI 18 October). Dubbed Bellemeade Re 2017-1, the US$368.11m transaction features structural departures from previous deals in the programme, while Morningstar Credit Rating's rating facilitated wider interest and broadened investor participation...
UK CMBS could signal turning point: Bank of America Merrill Lynch is marketing a Blackstone-sponsored UK CMBS - the first European conduit CMBS since early last year - signalling a possible turning point for the asset class and a potential surge in issuance. Dubbed Taurus 2017-2, the £347.929m transaction is backed by a single floating-rate loan, which is secured by a portfolio of 127 predominantly logistics properties with an appraised value of £545.6m and let to over 1070 tenants...

Deal news
Black Diamond Capital Management last week priced a CLO with both euro-denominated and US dollar-denominated notes. The senior notes of Black Diamond 2017-2 have been rated triple-A by S&P.