Monday 21 November 2016 11:03 London/ 06.03 New York/ 19.03 Tokyo

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

Upcoming SCI event
SCI's latest Capital Relief Trades Seminar, 'Navigating the Cash vs Synthetic Debate, Weighing the Cost of Capital', is being tomorrow, 22 November, in London. Please email for a conference registration code or click here and follow the link to register.

The conference programme consists of a series of panel debates, focusing on the structural landscape, the cost of capital and alternatives, and issuing bank strategies among others. So far, speakers include representatives from: Apollo Management; Caplantic; Chorus Capital Management; Christofferson Robb; Clifford Chance; EIF; Lloyds; Magnetar; Mariner Investment Group; Mizuho; Nomura; Nordea; Open Source Investor Services; and Rabobank.

Pipeline
The additions to the pipeline last week were nicely balanced between ABS, RMBS and CMBS. There were five of each, with deals announced from the US, UK, Europe, Russia and China.

The ABS were: €450m Bavarian Sky France Compartment French Auto Leases 2; CNY3.65bn Driver China Five Trust; US$1.5bn Huntington Auto Trust 2016-1; US$213.6m SoFi Consumer Loan Program 2016-5; and £405m Turbo Finance 7.

The RMBS were: US$241.23m Bayview Opportunity Master Fund Iva 2016-SPL1; €1.58bn BBVA RMBS 17; JPMMT 2016-4; RUB4bn Mortgage Agent MKB; and US$623.5m Progress Residential 2016-SFR2.

The CMBS were: US$415m JPMCC 2016-ASH; US$824.4m MSC 2016-UBS12; US$132m The Bancorp Commercial Mortgage 2016-CRE1 Trust; US$162.1m RCMT 2016-3; and Wells Fargo Commercial Mortgage Trust 2016-LC25.

Pricings
Last week's prints included a few more ABS, RMBS and CMBS than the week before, but fewer CLOs. The final totals were seven ABS, five RMBS, three CMBS and 10 CLOs.

The ABS were: US$1.25bn Drive Auto Receivables Trust 2016-C; US$500m Evergreen Credit Card Trust Series 2016-3; €3.784bn Locat Securitisation 2016; US$382.7m PHEAA Student Loan Trust 2016-2; CNY4.2bn Silver Arrow China 2016-2; US$584.42m SoFi Professional Loan Program 2016-E; and US$1.4bn Verizon Owner Trust 2016-2.

The RMBS were: €670m Credico Finance 16; US$460m Freddie Mac Whole Loan Securities Trust Series 2016-SC02; £2bn Permanent Master Issuer Series 2016-1; US$250m SPS Servicer Advance Receivables Trust Series 2016-T1; and US$350m SPS Servicer Advance Receivables Trust Series 2016-T2.

The CMBS were: US$975.4m CD 2016-CD2; US$1.315m FREMF 2016-K59; and US$1bn GSMS 2016-GS4.

Lastly, the CLOs were: US$407m Apidos CLO 2015-20R; €417m Ares European CLO 2016-8; US$331.2m Arrowpoint CLO 2013-1R; US$483.25m Betony CLO 2015-1R; US$372.75m Catamaran CLO 2014-2R; €338m Halcyon Loan Advisors European Funding CLO 2; US$489m Magnetite CLO 2015-12R; US$504m Symphony XVIII; US$601.6m Venture CLO 2016-25; and US$707m Voya CLO 2016-4.

Editor's picks
Fresh faces: A slew of issuance from private equity companies and other non-traditional issuers is changing the face of the European RMBS market. The trend can be seen in multiple jurisdictions, with deal structures evolving as a result...
Fine tailoring: Open-ended loan funds in Europe have grown in volume, attracting institutional investors hungry for yield, while fears over a Fed rate rise has reversed outflows from loan funds in the US. Although loan funds globally could pose a threat to CLOs in terms of issuance and investor appetite, the sector will continue to be buoyed by investors that employ a tailored risk-return approach...
Disruptive opportunities: Bijesh Amin, co-founder of Indus Valley Partners, discusses the emerging high-frequency lending model and its impact on structured credit...
'Transformational' capital offered: TCA Fund Management Group has closed the first investment made by its new fund. Touted as a hybrid opportunity fund, it features an innovative combination of private equity and credit characteristics...
US CLOs trundle on: The US CLO secondary market continues to trundle on in a positive manner, albeit without a resurgence in activity. "It's stayed quieter this week and certainly any expectation of a post-Trump victory sell-off hasn't materialised," says one trader. "People are looking for volatility before they act, but for now there's none in the CLO space..."
Container ABS decline persists: Container ABS volumes have continued to fall in Q3. This follows sluggish demand for containers, which has provided headwinds for the sector through 2016...

Deal news
• Huntington National Bank is in the market with its first prime retail auto ABS issuance of 2016. The US$1.5bn Huntington Auto Trust 2016-1 auto loan ABS is Huntington's eighth standalone retail term securitisation.
• Royal Bank of Canada has arranged a £125m mobile handset securitisation programme for Virgin Media Mobile, the first of its kind in Europe. The underlying receivables consist of loans provided by Virgin Media Mobile to its customers in order to finance the purchase of handsets from Virgin Mobile Telecoms.
• FirstRand Bank is in the market with its latest UK auto ABS, Turbo Finance 7. The deal, which is provisionally sized at £405m, includes a euro-denominated tranche - a first for the programme.
• Italian auto loan ABS A-Best 14 - which closed on 11 May (see SCI's new issuance database) - has been restructured. The amendments include the retranching of the principal amount of all classes of notes, increasing the total issuance volume and portfolio size, and changing the fixed interest rates of the class B, C and D notes.
• Fannie Mae has completed its tenth Credit Insurance Risk Transfer (CIRT) transaction of 2016. For the first time since the programme's inception, the loan pool covered by the US$11.7bn CIRT 2016-9 deal consists of 15-year and 20-year fixed rate mortgages.
• Navient has amended the transaction agreements for Navient Trust 2014-8, totalling US$469m of FFELP student loan ABS bonds. The legal final maturity of the deal's A3 tranche has been extended to 2049. The legal final maturity dates on US$7.8bn of bonds from Navient-sponsored FFELP securitisations have been extended since December 2015.
• Fitch has placed 12 classes of notes issued by Salisbury 2015-1 on rating watch positive. The move reflects a model correction, which leads to a higher rating recovery rate (RRR) in the portfolio credit model (PCM) output.

Regulatory update
ESMA has published a report on OTC derivatives central clearing, calling for a delay to the implementation of EMIR obligations for small financial counterparties. It argues that this is necessary because EU legislation is still being finalised, among other reasons.


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