SCI Start the Week - 27 February

Category: ABS CDO CLOs

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

Additions to the pipeline last week were fairly steady compared to the week before, as the industry now decamps to Las Vegas. There were five ABS, two ILS, three RMBS and three CMBS.

US$213.137m Arcadia Receivables Trust 2017-1, Driver UK Multi-Compartment Comp Driver UK Five, LaSer ABS 2017, CNY4bn Rongteng 2017-1 and US$704.21m World Omni Automobile Lease Securitization Trust 2017-A were the ABS. The ILS were US$125m Buffalo Re Series 2017-1 and US$125m Citrus Re Series 2017-1.

Bluestep 4, Galton Funding Mortgage Trust 2017-1 and La Trobe Financial Capital Markets Trust 2017-1 were the RMBS. The CMBS consisted of £215m Student Finance, US$348m VSD 2017-PLT1 and US$635m WFCMT 2017-RC1.

Completed issuance was also strong. There were six ABS prints, six RMBS, two CMBS and nine CLOs.

The ABS were: US$209m American Credit Acceptance Receivables Trust 2017-1; US$1.35bn Ford Credit Auto Owner Trust 2017-REV1; US$350m Hilton Grand Vacations Trust 2017-A; US$758.64m John Deere Owner Trust 2017-A; US$1.023bn Santander Drive Auto Receivables Trust 2017-1; and US$375m TGIF 2017-1.

The RMBS were: A$1.25bn Apollo Series Trust 2017-1; £442m Finsbury Square 2017-1; €407.1m Grecale 2015 (re-offer); €4.115bn Lowland Mortgage Backed 4; US$1bn JPMMT 2017-1; and £229m Stanlington 1.

US$750m BBCMS Mortgage Trust 2017-C1 and US$1.4bn FREMF 2017-K62 were the CMBS. The CLOs were: US$611.37m Grippen Park CLO 2017-1; US$332.1m JMP Credit Advisors CLO 2014-1R; US$608.5m KKR Financial CLO 2017-17; US$334.4m KVK CLO 2013-2R; US$412m Mountain View CLO 2014-1R; US$541.8m Northwoods Capital 2014-12R; US$433.2m OHA Loan Funding 2013-1R; US$418.75m OZLM Funding 2013-5R; and US$510m Shackleton CLO 2017-X.

Editor's picks
UK government to securitise student loan book: The UK government is looking to raise £12bn through the structuring and sale of a series of ABS backed by student loans. Its first offering - Income Contingent Student Loans 1 (2002-2006) - securitises a £4.1bn portfolio, but it is not clear whether the paper will appeal to the traditional ABS investor base...
Slow start to year 'not concerning' for Euro ABS: The European securitisation market started the year with its traditional quiet January, but issuance has picked up through February and there are large, innovative deals on the horizon. However, the future of the ECB's ABSPP already appears to be weighing on the market...
Risk transfer benchmark introduced: PCS has launched the first risk transfer quality label for synthetic risk transfer deals. One of the aims of the label is to help incorporate synthetic securitisations into a future STS regulatory framework through criteria that identify key elements of a simple, transparent and standardised instrument...
Deploying capital: Chris Redmond, global head of credit at Willis Towers Watson, answers SCI's profile questions...
Warm investor response for debut turboprop ABS: Elix Capital has closed its debut securitisation of turpoprop aircraft at a time when investors are craving such assets to diversify their investment strategies. Dubbed Prop 2017-1, the US$411m deal is the first-ever aviation ABS backed entirely by turboprop airplanes...
Ratings expansion outlined: KBRA has named Jim Nadler ceo, with co-founder Jules Kroll stepping down from the position. The move coincides with the rating agency's plans to expand into rating European securitisations and CLOs...

Deal news
• GMRF Mortgage Acquisition Company is in the market with its first ever RMBS (see SCI's pipeline), funded by Mariner Investment Group. Galton Funding Mortgage Trust 2017-1 (GFMT 2017-1) is backed by 363 prime quality, mainly 30-year residential mortgages with total unpaid balance of US$254.5m, but Moody's warns that collateral is weak compared to recent prime deals.
• An innovative liquidation vehicle backed mainly by commercial real estate loans is marketing. Dubbed VSD 2017-PLT1, the securitisation has an aggregate unpaid principal balance of US$378.1m and monetises recoveries from performing, non-performing and REO assets to pay the notes.
• Of the 15 US CMBS loans exposed to MC Sports, there are six which stand to be particularly affected by the company's bankruptcy filing last week, says Morningstar Credit Ratings. The largest loan of concern is the US$17.2m Wilsontown Shopping Center loan securitised in JPMBB 2013-C17.
Kabbage is marketing its first marketplace loan ABS of the year and its second since inception. Meanwhile, SoFi is in the market with its second consumer loan ABS - SoFi Consumer Loan Program 2017-2 - backed by US$343m of consumer loans and comprising several elements that differ from its previous securitisation.
• Brookfield Asset Management affiliate GL Europe RE Holdings is prepping a £215m single-tranche UK CMBS. Dubbed Student Finance, the transaction is backed by a single loan secured by 13 student accommodation buildings located in England and Wales.

Regulatory update
• Two European CLOs have priced since the US risk retention rules came into effect on 24 December (excluding refinancings) and both are structured to enable the manager to satisfy both European and US risk retention requirements. Several deals structured before the risk retention deadline and some refinanced deals priced recently have also been dual compliant.