SCI Start the Week - 22 May

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 11 ABS deals added to the pipeline last week. These were joined by an ILS, six RMBS, two CMBS and a CLO.

The ABS were: US$220m American Credit Acceptance Receivables Trust 2017-2; US$210m Cajun Global Series 2017-1; US$650m Chesapeake Funding II Series 2017-2; €723.7m Driver Espana Four; US$1.15bn Ford Credit Floorplan Master Owner Trust A 2017-1; US$978m Hyundai Auto Lease Securitization Trust 2017-B; €300m Master Credit Cards Pass 2017-1; US$375m Mercedes-Benz Master Owner Trust 2017-A; US$375m Mercedes-Benz Master Owner Trust 2017-B; US$160m Oportun Funding VI Series 2017-A; and US$1.06bn Santander Drive Auto Receivables Trust 2017-2.

The RMBS were: US$218.26m Bayview Opportunity Master Fund IVb Trust 2017-SPL4; ConQuest Trust Series 2017-1; Friary No.4; Green STORM 2017; US$1bn JPMMT 2017-2; and Nationstar HECM Loan Trust 2017-1.

US$250m Cranberry Re Series 2017-1 was the ILS, while the CMBS consisted of US$959.1m GSMS 2017-GS6 and US$1.09bn Morgan Stanley Capital I Trust 2017-H1. The sole CLO was €450m Cadogan Square CLO IX.

Pricings
There were 17 ABS prints last week. There were also two ILS, three Australian RMBS, three CMBS and eight CLOs.

The ABS were: €1.015bn A-Best 15; US$1.05bn Ally Auto Receivables Trust 2017-3; US$575m ARI Fleet Lease Trust 2017-A; US$750m Barclays Dryrock Issuance Trust Series 2017-1; €1.075bn Bavarian Sky Compartment Germany 6; US$775m Citi Credit Card Issuance Trust 2017-A6; CNY4.12bn Driver China Six Trust; US$175m Earnest Student Loan Program 2017-A; US$195.29m Flagship Credit Auto Trust 2017-2; €1.1bn IM Grupo Banco Popular Leasing 3; US$356.23m LEAF Receivables Funding 12 Series 2017-1; C$490m MBARC 2017-A; US$535m Nelnet SLT 2017-1; US$470m Prosper 2017-1; US$560m SoFi Professional Loan Program 2017-C; CNY3bn Toyota Glory 2017-1; and US$400m World Financial Network Credit Card Master Note Trust Series 2017-A.

US$125m MetroCat Re 2017-1 and US$925m Ursa Re 2017-1 were the ILS. The RMBS were A$300m Illawara Series RMBS Trust 2017-1, A$342.6m Liberty Series 2017-2 Trust and A$250m Sapphire XVI 2017-1.

US$500m 245 Park Avenue Trust 2017-245P, US$754m CLNS Trust 2017-IKPR and US$805m Hospitality 2017-HIT were the CMBS. The CLOs were: €564m Babson Euro CLO 2014-2R; €232.2m Bosphorus CLO 2016-2R; US$613.5m Carlyle Global Market Strategies 2017-2; US$300m Cerberus Onshore I CLO 2017-2; US$373.55m Ellington CLO I 2017-1; US$264.5m Octagon Investment Partners XVII 2013-1R; US$521.75m OZLM 2014-8R; and US$717.1m Trinitas CLO 2017-6.

Editor's picks
STS discussions stumble on hierarchy: The Strasbourg Trilogue discussions on simple, transparent and standardised (STS) securitisation have been postponed until 30 May, due to disagreements between the European Parliament on the one hand and the European Commission and Council on the other over the hierarchy of CRR approaches. However, the European Parliament has made important concessions over risk retention, increasing the likelihood of a final deal before June...
CRT customisation gains traction: The GSE credit risk transfer (CRT) market has continued to evolve since it began in 2013, with Fannie Mae and Freddie Mac respectively issuing US$23.9bn and US$19.8bn in CAS and STACR securities to date. The sector has taken a further step forwards in recent weeks, following the execution of the first exchangeables trades...
IFRS 9 to spur 'underperforming' loan sales: The implementation of IFRS 9 is expected to increase provisioning for a new loan category dubbed 'underperforming loans'. As lifetime losses will have to be addressed in this category, it is likely that these assets will become non-core and therefore be subject to increased sales activity...
Big appetite for BTL RMBS pair: The two UK buy-to-let RMBS issued by Blackstone and Prudential last month (SCI 4 April) provided a significant source of paper for the market. With UK Asset Resolution (UKAR) set to offload more loans later this year, there could be future RMBS in the pipeline as well - although, as with the latest two deals, absorbing that paper may test the market...
Optionality driving RMBS focus: The legacy US non-agency RMBS market is experiencing a 'perfect storm' of events, given the current low rate, low volatility environment. Strong performance and increasing optionality has prompted a renewed focus on the product...
Atlante momentum waning?: Italian bank rescue fund Atlante II has completed the purchase of its debut €2.2bn non-performing loan securitisation, clearing the way for UBI Banca's acquisition of three small rivals rescued in late 2015. The investment is believed to be one of four transactions that the fund will finalise this year...

Deal news
• Freddie Mac is auctioning an approximately US$292m pool of seasoned re-performing loans from its mortgage investments portfolio in its second such structured sale. The transaction will involve a two-step process and ultimately result in the issuance of the Freddie Mac SLST Guaranteed Securities Series 2017-1 resecuritisation.
Premium Credit is bringing to market is first term ABS, an unusual deal backed by premium finance contracts (see SCI's deal pipeline). While the size of the deal has yet to be confirmed, both Moody's and DBRS have assigned triple-A ratings to the senior notes.
• Proposed European regulatory changes to classify SPVs as financial counterparties have created significant uncertainty and are credit negative, rating agencies warn. Should the European Commission's (EC) intended amendments to EMIR be carried out, transactions would be required to post two-way variation margin and clear derivatives centrally.
Regulation AB 2 loan-level disclosures have shed light on performance differences across transactions originated by the largest US subprime auto loan ABS issuers that would not have been apparent under previous disclosure requirements. A new Moody's analysis of Santander Consumer USA and AmeriCredit Financial Services data suggests that the differences reflect the sponsors' underwriting and pooling strategies.

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