SCI Start the Week - 23 October

Category: ABS CDO CLOs


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

Pipeline
Additions to the pipeline last week were once again heavily skewed towards ABS. There were 11 ABS names added, along with two ILS, three RMBS and four CMBS.

The ABS were: US$232.648m Avant Loans Funding Trust 2017-B; Bavarian Sky UK 1; US$539.81m Capital Auto Receivables Asset Trust 2017-1; US$500m Chesapeake Funding II Series 2017-4; Delamare 2017-1; Evergreen Credit Card Trust Series 2017-1; Ford Credit Auto Lease 2017-B; €142.5m Hefesto STC; €770m SME Grecale 2017; US$165.28m Veros Auto Receivables Trust 2017-1; and Wizink Master Credit Cards 2017-02.

US$368.11m Bellemeade Re 2017-1 and US$150m Galileo Re Series 2017-1 were the ILS, while the RMBS were US$638.1m CSMC 2017-HL2, US$911m JPMMT 2017-4 and Triton Trust No.7 2017-2. The CMBS consisted of US$977.1m CGCMT 2017-C4, US$310m COMM 2017-PANW, US$1.3bn FREMF 2017-K68 and C$407m REAL-T 2017.

Pricings
While many ABS names joined the pipeline, many also departed. There were 19 ABS prints, along with five RMBS, three CMBS and 11 CLOs.

The ABS were: US$235m Ascentium Equipment Receivables 2017-2 Trust; US$1bn BMW Vehicle Lease Trust 2017-2; US$1.28bn CarMax Auto Owner Trust 2017-4; US$250m CommonBond Student Loan Trust 2017-B-GS; US$350m Credit Acceptance Auto Loan Trust 2017-3; US$999.62m Dell Equipment Finance Trust 2017-2; US$956.92m Drive Auto Receivables Trust 2017-3; US$157m Elara HGV Timeshare Issuer 2017-A; US$850.1m Enterprise Fleet Financing 2017-3; C$396m GMF Canada Leasing Trust Series 2017-1; US$186.2m Marlette Funding Trust 2017-3; US$260.75m Mosaic Solar Loans 2017-2; US$546.69m NextGear Floorplan Master Owner Trust Series 2017-2; US$215m PFS Financing Corp Series 2017-C; US$285m PFS Financing Corp Series 2017-D; US$476m Prosper Marketplace Issuance Trust Series 2017-3; US$174m Renew 2017-2; €670m SCF Rahoituspalvelut Kimi VI; and €1.582bn VCL 25.

The RMBS were: £2.638bn Brass No.6; €525m Fastnet 13; A$750m Resimac Bastille Trust 2017; US$570m VOLT 2017-NPL10; and £1.75bn Warwick Finance Residential Mortgages Number Three.

The CMBS were: US$725m GS Mortgage Securities Trust 2017-SLP; US$1.1bn JPMDB 2017-C7; and US$705.4m WFCM 2017-C40.

The CLOs were: €465.7m Avoca CLO 2015-14R; Barings Euro CLO 2017-2; US$627.5m Catamaran CLO 2014-1R; US$714m CIFC Funding 2017-V; US$734.37m GoldenTree Loan Management US CLO 2; US$795.71m Golub Capital Partners CLO 2015-24R; US$438.75m Oak Hill Credit Partners 2017-14; US$655.5m OCP CLO 2015-8R; US$510m Octagon 33; US$512.3m TCI-Flatiron CLO 2017-1; and €412.38m Willow Park CLO.

Editor's picks
CRT outlook bullish: Optimism prevailed at SCI's recent Capital Relief Trades Seminar, where panellists were bullish on the future of the risk transfer market. While capital relief trade activity has slowed this year compared to last, speakers concurred that issuance will grow in 2018, with a greater number of issuers and asset classes emerging...
Swap downgrades 'justified, necessary': Fitch downgraded Deutsche Bank's ratings last month, stating that the bank is no longer a suitable counterparty for top rated securitisations. While the downgrade was prompted by issues relating to that bank specifically, other bank downgrades could - and, it is argued, should - follow...
MPS loan appraisal pending: Cerved Information Solutions, one of the largest Italian servicers, has been selected by Atlante II to manage nearly half of the non-performing loans backing Monte dei Paschi di Siena's (MPS) forthcoming €26bn securitisation (SCI 5 July). MPS can only receive the GACS guarantee for the senior tranche of the deal after a sound appraisal of the secured portion of the NPL portfolio...
Interest growing in infrastructure: Deutsche Asset Management subsidiary RREEF America has closed a US$431.3m managed project finance CDO, dubbed RIN. While the deal may signal growing investor interest in infrastructure and project finance debt, lack of homogeneity could hamper the growth of the asset class...

Deal news
• United Guaranty is in the market with Bellemeade Re 2017-1 (see SCI's deal pipeline). The mortgage insurance securitisation is the first of its type to be publicly rated, potentially opening the gates for an increase in similar issuance.
• A €142.5m Portuguese non-performing loan securitisation has hit the market. Dubbed Hefesto STC, the transaction is backed by a portfolio of secured and unsecured NPLs originated by Caixa Economica Montepio Geral.
• Freddie Mac is in the market with the first in a new series of risk transfer RMBS, backed by a US$1.252bn portfolio of 3,231 conforming and super-conforming fixed-rate mortgages. Dubbed STACR 2017-SPI1, the collateral is housed in a participating interest (PI) trust, which will issue certificates for every loan in the form of pass-through certificate (PC) participation interests and credit participation interests.

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