SCI Start the Week - 24 July

Category: ABS CDO CLOs


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

Pipeline
A mix of ABS, RMBS and CMBS hit the pipeline last week. There were US$1bn-plus deals announced in both ABS and CMBS, as well as a €2.45bn RMBS.

The seven ABS were: Aurorus 2017-B; US$894m Drive Auto Receivables Trust 2017-2; US$1.25bn Toyota Auto Receivables 2017-C Owner Trust; US$237.887m TRIP Rail Master Funding Series 2017-1; US$335.7m Willis Engine Structured Trust III; Wizink Master Credit Cards 2017-01; and US$660.68m World Omni Auto Receivables Trust 2017-B.

The three RMBS were €2.45bn Caixabank Consumo 3, Torrens Trust 2017-2 and US$240m Verus Securitization Trust 2017-2. The four CMBS were US$1.4bn BX Trust 2017-SLCT, US$931.6m CD 2017-CD5, US$469m JPMCC 2017-MAUI and Sfr475m NOE Verwaltungszentrum-Verwertungsgesellschaft.

Pricings
Issuance was primarily split between ABS and CLOs, with nine of the former and eight of the latter. There were also five RMBS and a CMBS.

The ABS were: US$1.375bn CarMax Auto Owner Trust 2017-3; US$748m CNH Equipment Trust 2017-B; US$225m CPS Auto Receivables Trust 2017-C; PLN700m GNB Auto Plan 2017; US$700m Kubota Credit Owner Trust 2017-1; US$1.02bn Navient Student Loan Trust 2017-4; A$589m SMART ABS Series 2017-2; US$551m SoFi Professional Loan Program 2017-D; and US$492.8m Wheels SPV 2 Series 2017-1.

A$500m Barton Series 2017-1 Trust, £298m Charter Mortgage Funding 2017-1, US$1.351bn Connecticut Avenue Securities Series 2017-C05, A$1.2bn-equivalent Liberty Series 2017-3 Trust and US$485.25m Sequoia Mortgage Trust 2017-5 were the RMBS. The CMBS was US$933m BANK 2017-BNK6.

The CLOs consisted of: US$434.1m Atlas Senior Loan Fund 2013-2R; US$433.55m Canyon Capital CLO 2017-1; €374.3m Harvest CLO 2014-10; US$368m KKR Financial CLO 2015-12R; US$408m OFSI Fund 2017-1; US$700m RR CLO (ALM 2013-10) 2017-1R; US$376.5m Tralee CLO 2013-1R; and US4324.25m Trinitas CLO 2014-1R.

Editor's picks
Swedish regulations to limit risk transfer: Finansinspektionen, Sweden's financial supervisory authority, recently released new securitisation guidelines in an attempt to tackle what it sees as flow-back risk, or the possibility of credit risk flowing back onto bank balance sheets. The guidelines are expected to reduce issuance of Swedish capital relief trades...
'Brighter year' for securitisation recruitment: The structured finance industry has seen one of its best years in terms of hiring since the financial crisis, according to recruiters. While ABS was the standout sector for recruitment in the US in 1H17, CLO hiring activity continued to be strong in Europe...
Pension fund increases risk transfer mandate: The New Mexico Educational Retirement Board has been steadily increasing its foothold in the risk transfer market. Indeed, the pension fund's mandate has broadened since its first investment in the sector back in 2008...
Euro CLOs carry on: The European CLO secondary market is carrying on in the face of the earlier-than-usual secondary market summer slowdown across other securitisation asset classes either side of the Atlantic. "Overall, things are ticking along and given it's the summer, we're still doing decent volumes this month so far," says one trader. "However, the market remains dominated by primary in terms of both new issues and refis..."
Legal disputes weigh on NCSLT payoffs: Ongoing legal disputes between several National Collegiate Student Loan Trust transaction parties are credit negative for the affected private student loan ABS, due to the risk of servicing transfers and litigation expenses. Most senior tranches in the securitisations are expected to pay off, however...

Deal news
• An unusual CMBS has begun marketing (see SCI's deal pipeline). NOE Verwaltungszentrum-Verwertungsgesellschaft represents a credit tenant-lease transaction, backed by a lease with the State of Lower Austria, incorporating supplemental structural features to mitigate certain limitations of the lease agreement under Austrian law.
• Banca Popolare di Cividale has closed a revolving Italian RMBS. Civitas SPV Series 2017-1 issued an initial €258.4m of notes, which can increase up to €600m during the transaction's three-year ramp-up period.
• A Spanish credit card ABS rated by both Fitch and DBRS has started marketing (see SCI's deal pipeline). €518.8m of notes will be offered to the market, with the rating agencies provisionally rating the senior notes at double-A plus and double-A.
• BMW has priced its first public securitisation of Swiss auto lease receivables to feature a euro-denominated class A note. The €431.6m-equivalent Bavarian Sky Europe Compartment Swiss Auto Leases 2 is collateralised by 13,430 fixed-rate auto lease contracts and comprises a €325m floating-rate class A note and a Sfr97.8m fixed-rate class B note.
• The £290m Twin Bridges 2017-1 RMBS which priced last week represents the first time that loans from a non-US marketplace lender have been used for a triple-A rated securitisation. While the deal largely securitises loans made by Paratus, it also includes loans from marketplace lender Landbay.
• RNHB is in the market with an unusual Dutch RMBS backed by owner-occupied and buy-to-let mortgage loans secured by residential, mixed-use and commercial properties. Dubbed Dutch Property Finance 2017-1, the €1.5bn transaction is unique in that borrowers are divided into risk groups and are obliged to share servicing of the debt across the risk group.

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