Monday 22 July 2019 10:52 London/ 05.52 New York/ 18.52 Tokyo

A review of securitisation activity over the past seven days

Market commentary
Activity eased up across the US CLO market last week, driven by both macro and seasonal factors (SCI 17 July).

"In general, new issue pricing is spotty - prices are really moving around," said one trader. "It seems like there are places in the capital structure and with certain issuers where the underwriters are having trouble finding buyers. At the same time, we are seeing a little bit less overall new issue volume at the moment."

Meanwhile, in the secondary market, BWIC supply remains steady if unspectacular. The trader reported: "Stuff is getting done, but we're not exactly seeing a wave of buyers."

Other deal-related news

  • Equity participation in aircraft ABS is picking up, following the execution of transactions with broadly syndicated E-notes, aimed at creating a liquid secondary market. However, the market may be underestimating residual value risk (SCI 19 July).  
  • ResponsAbility Investments has closed a US$175m securitisation of micro-finance and SME loans to 26 businesses in emerging markets. The proceeds will be used to fund financial intermediaries providing capital to 30,000 small businesses and 5.6 million microfinance borrowers, 81% of whom are women (SCI 18 July).
  • The African Development Bank Group has approved an innovative multinational financing programme for distributed energy service companies (DESCOs), which would see 900,000 households in sub-Saharan Africa - about 4.5 million people - gain access to solar power by 2025. The DESCOs Financing Program promotes securitisation financing techniques to address barriers to accessing finance for DESCOs, while supporting their growth and expansion into existing and new markets (SCI 15 July).
  • The EIB, the EIF and Česká spořitelna (ČS) have inked a capital relief trade. The synthetic securitisation will channel €306m of new financing into SME businesses in the Czech Republic (SCI 18 July).
  • Stenn International has launched a debut US$200m securitisation with Natixis, backed by international trade finance receivables. The deal looks set to be the first of many, as the firm intends to become a programmatic ABS issuer while also expanding into back-up servicing and IFRS 10 derecognition services (SCI 17 July).
  • Triodos Bank has retained its debut €841m securitisation of Dutch prime residential mortgages. Dubbed Sinopel 2019, the deal is backed by 3,810 mortgages, all of which offer lower interest rates depending on the energy-efficiency of the house (SCI 19 July).
  • Arbuthnot has purchased a portfolio of residential mortgages totalling approximately £266m for a discounted rate of 97.2%. The transaction is expected to complete on 8 August, when the mortgage contracts will be released from the securitisation vehicles in which they are currently held (SCI 17 July).
  • The Business Mortgage Finance 6 interim application was heard and granted by the court on 11 July. As such, the high court has ordered that neither Greencoat Holdings nor Portfolio Logistics shall act as if it were appointed as an additional trustee or agent under the terms of the trust deed (SCI 17 July).
  • The cure payment has been received from the mezzanine agent in connection with the Maroon loan securitised in the Elizabeth Finance 2018-1 loan. Accordingly, the loan EOD has been remedied and the loan is now a corrected loan (SCI 17 July).
  • Lapis Municipal Structured Management has replaced Cohen Municipal Capital Management as portfolio manager to Non-Profit Preferred Funding Trust I, a muni CDO. Moody's has confirmed that the appointment will not impact the deal's ratings (SCI 19 July). For more CDO manager transfers, see SCI's database.
  • Santander has submitted a notification to ESMA and the UK FCA regarding pre-2019 securitisations issued from its Holmes RMBS programme that the requirements of Articles 19 to 22 of the Securitisation Regulation have been satisfied. As such, the notes should be designated under the STS framework (SCI 17 July).
  • Moody's has upgraded three tranches from ING's Orange Lion 2013-10 RMBS, reflecting increased credit enhancement and better-than-expected collateral performance (SCI 19 July). The preplaced transaction caused a stir at issuance, due to its lack of call option or step-up coupon (SCI 4 July 2013).

Regulatory round-up

  • Capital relief trade issuers are attempting to anonymise loan-by-loan data in transactions, while simultaneously complying with ESMA's requirement to disclose such data as part of the new securitisation regulation (SCI 22 February). Market participants are concerned that unless regulators address this tension, it could cause a breach of confidentiality provisions (SCI 19 July).
  • ESMA has published additional resources to assist industry implementation of its draft technical standards on disclosure requirements for the Securitisation Regulation (SR). First, it has updated its SR Q&As, clarifying different aspects of the draft disclosure technical standards, including how some specific fields in the templates should be completed. Second, ESMA has published a set of reporting instructions and XML schema for the templates set out in its draft technical standards on disclosure requirements (SCI 18 July).
  • The FDIC has issued a notice of proposed rulemaking on amending the securitisation safe harbour rule. The proposed changes are intended to remove the requirement that safe harbour transactions that do not otherwise have to comply with US SEC Regulation AB would have to do so in order to be afforded safe harbour treatment (SCI 18 July).

Data

Pricings
Auto ABS issuance switched up a gear last week, accounting for a large portion of prints. The week was also notable for the number of RMBS that priced.

Last week's auto ABS issuance comprised: €660m Auto ABS Italian Balloon 2019-1 (retained), €950m AutoFlorence 1, US$243.51m CPS Auto Receivables Trust 2019-C, US$850m Exeter Automobile Receivables Trust 2019-3, US$1.05bn GM Financial Consumer Automobile Receivables Trust 2019-3, US$1.25bn Nissan Auto Lease Trust 2019-B, US$466.30m Oscar US 2019-2, US$365.26m Prestige Auto Receivables Trust 2019-1 and US$1.18bn Santander Retail Auto Lease Trust 2019-B. The US$443.25m DLL 2019-MA2, US$1.05bn John Deere Owner Trust 2019-B, US$498.30m Nelnet Student Loan Trust 2019-3 and US$450m Sierra Timeshare 2019-2 Receivables Funding were the other ABS prints.

Meanwhile, the RMBS pricings consisted of €455.9m European Residential Loan Securitisation 2019-NPL1, €290m Finance Ireland RMBS No. 1, US$400m NRZ Advance Receivables Trust 2019-T1, €841m Sinopel 2019 (retained), US$756m STACR 2019-DNA3 and US$361m Verus Securitization Trust 2019-INV2. The CMBS prints were US$1.2bn FREMF 2019-K735, US$747m MSC 2019-H7 and £750m Westfield Stratford City Finance No. 2.

Finally, among last week's CLO issuance were US$300.5m ABCPI Direct Lending CLO VI, €478m Harvest CLO XXII, US$749m Oaktree CLO 2019-3, US$427.72m Romark CLO III and US$310m Symphony CLO XVIII (refinancing).

BWIC volume

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