SCI Start the Week - 25 September

Category: ABS Capital Relief Trades CDO


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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 fairly broadly split. There were five ABS added, along with three RMBS, four CMBS and two CLOs.

US$750m Bank of the West Auto Trust 2017-1, Bavarian Sky German Loans 7, US$210m CFG Investments 2017-1; US$1bn Honda Auto Receivables 2017-3 Owner Trust and Securitized Term Auto Receivables Trust 2017-2 accounted for the ABS. The RMBS were Green Apple 2017-1, HBS Trust 2017 and Pepper Residential Securities Trust No.19.

US$283m COMM 2017-DLTA, US$1bn Great Wolf Trust 2017-WOLF, US$233m STACR 2017-DNA3 and US$818.3m UBS 2017-C4 constituted the CMBS. The CLOs were US$456.7m AMMC CLO 21 and US$817.5m Gilbert Park CLO.

Pricings
The week's prints were also relatively varied, although ABS and CLOs did once again account for the bulk of issuance. There were five of the former and seven of the latter, along with four RMBS and a CMBS.

The ABS were: €685m Globaldrive Auto Receivables 2017-A; US$1bn GM Financial Automobile Lease Trust 2017-3; £140m LaSer ABS 2017-1; Nkr2.2bn Scandinavian Consumer Loans VI; and £546m Silver Arrow UK 2017-1.

The RMBS were: A$1.5bn Apollo Trust 2017-2; A$500m Firstmac Mortgage Funding Trust No.4 Series 2017-2; US$1.5bn-equivalent Gosforth 2017-1; and £275m Together Asset Backed Securitisation 1. The CMBS was US$1.4bn FREMF Series 2017-K727.

The CLOs were: €386.6m Accunia European CLO II; US$712.9m Benefit Street Partners CLO 2017-12; US$516m Anchorage Capital CLO 2013-1R; €468m Dryden Leveraged Loan CDO 2015-39R; US$606m Gallatin Funding 2017-1; US$376m Neuberger Berman CLO 2013-15R; and €435.15m Tikehau CLO III.

Editor's picks
'Substantial' green ABS volumes eyed: Vehicle and housing loans have the potential to produce substantial flows of large-scale green ABS transactions over the next five years, according to a new SCI research report produced in conjunction with TMF Group and Ygrene Energy Fund. However, the report - entitled 'Impact investing and green ABS: creating a market of the future' - finds that would-be issuers face a significant challenge in the near term to assemble enough eligible collateral to support a deal of benchmark size...
Merger to impact SFR volumes: Starwood Waypoint Homes and Invitation Homes recently announced plans to merge, creating the largest single-family rental company in the US (SCI 11 August). The firms have also stated their intention to go public, a move that is likely to impact their securitisation strategy and potentially curtail issuance in the broader SFR RMBS market...
EBA releases SRT discussion paper: The EBA has released its significant risk transfer (SRT) discussion paper, the main elements of which were outlined last month (SCI 18 August), and has launched a public consultation on its contents. The banking watchdog wishes to further harmonise the regulation and supervision of risk transfer through securitisation...
Toys R Us CMBS exposure gauged: Toys R Us filed for Chapter 11 bankruptcy protection this week. Several US CMBS loans are exposed to the retailer, although no store closures have been announced...

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