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

Pipeline
A mix of new deals - both in terms of collateral type and jurisdiction - entered the pipeline last week. ABS was the dominant asset class, but RMBS made a good showing too.

The ABS new entrants comprised: €193m Aqua Finance No. 4, US$253m CAL Funding III Series 2017-1, US$160.9m College Ave Student Loans 2017-A, NZ$140.6m FP Ignition 2017-8, US$850m Jimmy John's Funding Series 2017-1, NewDay Funding 2017-1 and US$499.5m SoFi Consumer Loan Program 2017-4. US$250m Northshore Re II Series 2017-1 was the sole ILS to begin marketing last week.

The RMBS were: US$383.3m Bayview Opportunity Master Fund IVa Trust 2017-SPL5, €346.6m Cartesian Residential Mortgages 2, £242m Castell 2017-1, US$512m CSMC 2017-HL1 and A$350m Triton Trust No.7 Bond Series 2017-1. The US$536m IMT Trust 2017-APTS, US$248.1m SCF RC Funding I, II & III Series 2017-1 and US$1.2bn WFCM 2017-C38 made up the newly announced CMBS. Finally, the US$376.7m Resource 2017-CRE5 CRE CLO rounded out the pipeline entrants.

Pricings
Auto ABS dominated last week's prints, with CLOs also showing strong issuance. A handful each of CMBS and RMBS also priced.

The auto ABS comprised: €688m A-BEST 12 (re-offer), US$250m Ally Master Owner Trust 2017-2, US$500m Ally Master Owner Trust 2017-3, US$450m Credit Acceptance Auto Loan Trust 2017-2, US$1.38bn Drive Auto Receivables Trust 2017-1, US$750m Enterprise Fleet Financing 2017-2, US$1.3bn Ford Credit Auto Owner Trust 2017-B, US$208.65m GLS Auto Receivables Trust 2017-1, US$1.317bn Honda Auto Receivables 2017-2, US$1.2bn Nissan Auto Lease Trust 2017-A, US$250m Navistar Financial Dealer Note Master Owner Trust II Series 2017-1 and €1.192bn Silver Arrow Compartment 8. US$350m Lendmark Funding Trust 2017-1, US$322.7m Marlette Funding Trust 2017-2, US$651.7m Springleaf Funding Trust 2017-A, US$350m Textainer Marine Containers V Series 2017-2 and US$500m Trafigura Securitisation Finance 2017-1 also priced. The sole ILS print last week was €200m Lion II Re.

The RMBS new issuance consisted of: A$300m ABA Trust 2017-1, US$335m Home Partners of America 2017-1, £750m Lanark Master Issuer Series 2017-1, RUB4.7bn Mortgage Agent TKB-3 and €1.1bn Storm 2017-II. US$2.3bn BXG Trust 2017-GM, US$889m CSMC 2017-CHOP, US$974m FREMF 2017-K726, US$115m JPMCC 2017-MARK and US$500m Rosslyn Portfolio Trust 2017-ROSS made up the CMBS pricings.

The CLO refinancings were: US$959.75m ALM XVI (refinancing), €369.63m Dartry Park CLO (refinancing), US$538.75m Greywolf CLO III (refinancing), €451.3m Jubilee CLO 2014-XIV (refinancing), US$324.05m Silver Spring CLO (refinancing) and US$570.5m Venture XVII CLO (refinancing). A couple of new CLO issuances - €464.1m Carlyle Euro CLO 2017-2 and US$512.02m TCI-CENT CLO 2017-1 - also printed.

Editor's picks
IFRS 9 to spur risk transfer trades: Higher expected provisioning under IFRS 9 is expected to spur a slew of risk transfer issuance before its enactment in January 2018. Indeed, portfolio management will be central to how institutions manage and price the volatility that the new accounting standard will bring...
Regulatory boost for risk transfer trades: Balance sheet synthetic securitisation volume is predicted to rise in the coming years, with greater conformity in deal structure and increased variance in reference assets. A more accommodating regulatory environment should help boost the growth and acceptance of the market...
Data drought impedes NPL ABS growth: Incomplete data and inadequate servicing infrastructure continues to beset the European non-performing loan market. Nevertheless, recent changes to Law 130 in Italy may help to address the growing number of 'unlikely to pay' debtors - a large, but untapped, portion of Italian banks' NPL exposures...
Time to taper?: Participants at IMN's Global ABS conference recently suggested that quantitative easing is likely to ease off in Europe soon, coinciding with a potential tapering of programmes like the Europe-wide ABSPP and TLTRO in the UK. While the view that tapering should begin was widely held, panellists were uncertain about how government support for the securitisation market should - and would - be removed...
AIG's debut RMBS collateral 'among strongest': American International Group - which has not previously participated in the issuance of RMBS - is in the market with Credit Suisse Mortgage Capital 2017-HL1 Trust, sized at US$512m (see SCI's deal pipeline). The senior notes have been rated triple-A by Fitch and DBRS, with the collateral deemed to be among the strongest since the crisis...

News
• Optimum Credit is in the market with its first UK non-standard prime RMBS. The transaction is called Castell 2017-1 and is backed by a £242m pool of second lien mortgage loans (see SCI's deal pipeline).
• Jimmy John's is in the market with its debut whole business securitisation. The US$850m ABS is backed by royalties from 2,627 Jimmy John's franchises and 63 company-owned restaurants, representing 97.7% and 2.3% of system-wide locations respectively.
• The Reserve Bank of India has announced plans to resolve the troubled loans of 12 large borrowers responsible for about 25% of the banking system's non-performing assets under India's Insolvency and Bankruptcy Code of 2016. The move is credit positive for Indian banks, since it can help with overall asset quality - albeit large write-downs for state banks are expected.