Monday 24 April 2017 11:05 London/ 06.05 New York/ 19.05 Tokyo

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

Pipeline
Additions to the pipeline were focused on ABS and RMBS last week, with the former dominating. Among these is a US$1bn-plus ABS and a C$2bn RMBS.

The ABS were: US$235.6m Ascentium Equipment Receivables 2017-1 Trust; US$900m Coinstar Funding Series 2017-1; US$996.58m Dell Equipment Finance Trust 2017-1; Ford Auto Securitization Trust 2017-R2; US$176m GoodGreen 2017-1; US$268.47m HERO Funding 2017-1; US$1.1bn MMAF Equipment Finance 2017-A; US$481.9m NextGear Floorplan Master Owner Trust Series 2017-1; A$882.4m SMART ABS Series 2017-1 Trust; and US$344.7m Thunderbolt Aircraft Lease.

The RMBS were C$2bn Bicentennial Trust, US$402.6m COLT Mortgage Loan Trust 2017-1, FCT ELIDE Compartiment 2017-02 and US$657.154m New Residential Mortgage Loan Trust 2017-2.

Pricings
There was another long list of prints, with the familiar weighting towards ABS and CLOs. There were nine of the former and seven of the latter, along with an ILS and a CMBS.

The ABS were: US$1.7bn American Express 2017-3; US$350m Discover Card Execution Note Trust 2017-A3; US$400m Discover Card Execution Note Trust 2017-A4; US$450m Exeter Automobile Receivables Trust 2017-2; US$300m First National Master Note Trust Series 2017-1; US$294m Global SC Finance IV Series 2017-1; US$600m Golden Credit Card Trust 2017-2; US$500m Hertz Fleet Lease Funding Series 2017-1; and US$1.998bn MBALT 2017-A.

US$425m Residential Reinsurance 2017-1 was the sole ILS. The CMBS was US$760m SBA Tower Trust 2017-1C.

The CLOs consisted of: US$2.113bn Antares CLO 2017-1; €246.5m Aurium CLO 2015-1R; €247.75m Cairn CLO 2014-4R; US$373.25m Cent CLO 2013-20R; US$382.43m Neuberger Berman CLO 2013-14R; US$514.6m Thayer Park CLO 2017-1; and US$345.5m York CLO 2014-1R.

Editor's picks
Tranched cover trades gaining traction: Tranched cover synthetic securitisation issuance is picking up in Europe, as regulatory capital requirements bite. The advantages of such non-standard structures include their limited ongoing costs, as well as their flexibility and bilateral nature...
Euro CLO relative value discussed: Identifying relative value in the current loan environment, where asset spreads are compressing, was a key theme at IMN's recent European CLOs and Leveraged Loans conference. Against the backdrop of rising refinancing and reset volumes, call optionality and manager style emerged as strong contenders...
Clean-up call volume rising: US non-agency RMBS amounting to more than US$1bn in UPB was called in 1Q17, making it one of the busiest quarters for calls in many years. There is no longer such a clear skew towards prime collateral backing deals being called, while a greater variety in vintages being called is expected to develop...
Debut Canadian RMBS prepped: The first RMBS sponsored by a major Canadian bank is marketing. Dubbed Bicentennial Trust 2017-1, the C$1.96bn deal is backed by 6,364 prime fixed-rate Canadian residential mortgage loans originated by Bank of Montreal...

Deal news
• Antares Capital Advisers is in the market with its first 2.0 CLO transaction, Antares CLO 2017-1, its first deal in more than a decade. The transaction is a cashflow SME CLO provisionally sized at US$1.8bn and backed by middle-market speculative-grade senior secured term loans.
• Coinstar is marketing its inaugural US$900m whole business securitisation. Coinstar Funding Series 2017-1 is backed by revenue generated from a multi-national network of fully automated self-service coin counting machines.
• The US$77.2m City View Center loan - securitised in MSC 2007-IQ14 - has received a US$62.5m payment, following the representation and warranty settlement between the special servicer and originator Morgan Stanley (see SCI's CMBS loan events database). The loan transferred to special servicing in late 2008 over a lawsuit, initiated when the borrower violated EPA requirements related to methane gas extraction and monitoring.

Regulatory update
• Ocwen Loan Servicing has reached a settlement with the New York Department of Financial Services (NYDFS) which brings closer the prospect of the company being able to acquire MSRs again. The California Department of Business Oversight (DBO) has already lifted its own prohibition against Ocwen purchasing MSRs.


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