SCI Start the Week - 27 November

Category: ABS CDO CLOs


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

Pipeline
As might have been expected, there were very few additions to the pipeline last week. In fact, all that remained by the end of the week were two new ABS and two RMBS.

US$330m Consumer Loan Underlying Bond Credit Trust 2017-P2 and €527m SapphireOne Auto 2017-1 accounted for the ABS. The RMBS were RedZed Trust 2017-2 and €6bn TDA Sabadell RMBS 4.

Pricings
A fair flow of names went the other way, however. There were seven ABS prints as well as four RMBS, five CMBS and five CLOs.

The ABS were: US$174.5m Aqua Finance Trust 2017-A; €770m Fino 1 Securitisation; €696m Ginkgo Compartment Sales Finance 2017-1 (re-offer); US$1.187bn Honda Automobile Receivables 2017-4 Owner Trust; €850m SC Germany Consumer 2017-1; CNY3bn Toyota Glory 2017 Phase II; and €600m Volta V.

The RMBS were: €1.458bn BBVA RMBS 18 FT; €260m Grand Canal Securities 2; A$600m Firstmac Mortgage Funding Trust No.4 Series 3-2017; and €2.5bn Wendelstein 2017-1.

The CMBS were: US$855.3m CSAIL 2017-CX10; US$427m MSC 2017-ASHF; £348m Taurus 2017-2 UK; US$258.5m Velocity Commercial Capital 2017-2; and US$220m WFCM 2017-HSDB.

The CLOs were: €466m BlackRock European CLO IV; €1.85bn Caixabank PYMES 9; €334m Halcyon Loan Advisors European Funding 2017-2; £4.3bn Nightingale Securities 2017-1; and US$611.45m OCP CLO 2017-14.

Editor's picks
Thinking outside the box: Investor demand is driving an expansion of the US prime RMBS credit box. Following years of issuance focused on what could be termed 'super prime' mortgage securitisations, the market has now moved on to what may instead be classified as 'expanded prime'...
African appetite for structured products: Standard Bank has launched a new US dollar-denominated credit derivatives product, opening up African credit opportunities to global investors hungry for structured products. The programme will issue credit-linked notes (CLNs), providing exposure to otherwise inaccessible African credit and meeting growing African investor demand for portfolio diversification...
NPL secondary 'needs AMC blueprint': The European Commission has confirmed progress on NPL secondary markets. It has highlighted the creation of NPL secondary markets through improved data standardisation as well as work towards a blueprint for an asset management company (AMC)...
Inaugural inventories ABS is sector 'holy grail': Trafigura has launched a 'pioneering' debut commodities securitisation marking a milestone for the sector. The US$470m non-recourse funding programme, Trafigura Commodities Funding (TCF), is backed by inventories of crude oil and refined metals and is structured with a senior and junior tranche...

Deal news
• NatWest has originated a capital relief trade dubbed Nightingale Securities 2017-1. Unusually, the £390.2m CLN references a mixed portfolio of asset classes. It is also the first DBRS-rated synthetic securitisation for the RBS Group.
• My Money Bank (MMB) is marketing an inaugural €527m static cash auto ABS. The transaction, titled SapphireOne Auto 2017-1 (see SCI's deal pipeline), is backed by 39,122 non-delinquent auto loan (64%) and lease (36%) contracts to borrowers in the French overseas territories of La Reunion, Guadeloupe, Martinique and French Guiana.
Taurus 2017-2 UK, a rare single-loan UK CMBS (SCI 17 November), has priced. All offered tranches were well covered and final spread levels were set below initial price talk and at the tighter end of guidance, although concerns have also been raised.

Regulatory update
• Attendees of a public hearing on the EBA's SRT discussion paper have raised concerns in relation to excess spread, time calls and commensurate risk transfer tests (SCI 28 September). The EBA has acknowledged the concerns, but as its consultation is still ongoing it has not provided detailed responses.

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