Monday 3 April 2017 12:17 London/ 07.17 New York/ 20.17 Tokyo

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

Pipeline
The pipeline comprised a mixed bag of issuers last week. ABS deals once again dominated the new entrants.

Among the newly announced ABS were some esoteric names: US$145m BRE Grand Islander Timeshare Issuer 2017-A, US$282m PFS Financing Corp 2017-A and US$281m TAL Advantage VI series 2017-1. The Income Contingent Student Loans 1 (2002-2006) and US$50.26m Rhode Island Student Loan Authority 2017-A student loan deals also began marketing, together with the RMB3.67bn Bavarian Sky China 2017-1 Trust and US$989m GM Financial Consumer Automobile Receivables Trust 2017-1 auto deals.

A pair of Australian issuers - the A$350m Light Trust 2017-1 and A$500m RESIMAC Premier Series 2017-1 - joined STACR 2017-DNA2 on the RMBS side, while US$1bn BANK 2017-BNK4 and US$760m SBA Tower Trust 2017-1C accounted for the CMBS. Finally, the US$150m First Coast Re Series 2017-1 ILS deal rounded out the pipeline additions.

Priced
CLOs once again accounted for the majority of pricings last week. ABS and RMBS issuance also saw healthy volumes.

Last week's CLO refinancings comprised: US$466m AMMC CLO XVI (refinancing), US$569.75m Avery Point IV CLO (refinancing), US$348m Ballyrock CLO 2014-1 (refinancing), €400.6m Carlyle Global Market Strategies Euro CLO 2015-1 (refinancing), US$249m Fortress Credit BSL 2013-2 (refinancing), US$442m Fortress Credit Opportunities V CLO (refinancing), €282.85m Halcyon Loan Advisors European Funding 2014 (refinancing), US$242.5m Hildene CLO I (refinancing), US$323.25m Hildene CLO II (refinancing), US$302.5m Hildene CLO III (refinancing), US$460.5m Mariner CLO 2015-1 (refinancing), US$303m Northwoods Capital X (refinancing), US$374.5m OHA Credit Partners IX (refinancing), US$702.75m OZLM VII (refinancing), US$561.25m Seneca Park CLO (refinancing), US$406.8m TICP CLO II (refinancing) and US$407m Venture XVI CLO (refinancing). There were also a handful of new issue CLOs: US$608.1m Benefit Street Partners CLO XI, US$604.31m Cerberus Loan Funding XVIII, US$587.5m CIFC Funding 2017-II and US$457.8m Wellfleet CLO 2017-1.

Meanwhile, the £486m E-CARAT 8, Sfr297m First Swiss Mobility 2017-1, €510m IM Grupo Banco Popular Consumo I, A$1bn Latitude Australia Credit Card Loan Note Trust 2017-1, €450m RevoCar 2017 and US$175m Westgate Resorts Series 2017-1 deals accounted for the ABS prints. The RMBS were €390m Prado IV, A$300m RedZed Trust Series 2017-1 and €403m SRF 2017-1. The CARS-DB4, DB5, DB6, DB7, DB8, DB10, DB11, CNI-2 Series 2017-1 triple-net lease securitisation rounded out last week's issuance.

Editor's picks
Value seen in jumbo 2.0 and RPL deals:
US non-agency issuance volumes are inching up on the back of the housing market recovery. Re-performing and post-crisis prime jumbo RMBS, in particular, are tipped as offering value in the current environment...
Income-contingent SLABS approach revealed: Further details have emerged of the UK government's £3.94bn Income Contingent Student Loans 1 (2002-2006) transaction, the first UK student loan ABS to be backed by income-contingent repayment (ICR) loans (SCI 21 February). Together with assigning expected ratings to the deal, Fitch has published a criteria report detailing its approach to rating UK income-contingent student loan securitisations...
US CLOs sporadic: Activity in the US CLO secondary continues to be patchy. "We're now just seeing sporadic buying and selling," says one trader. "Even though it's quarter-end - so people are anxious to get stuff done and there's plenty of money out there - investors are finding there isn't much value to be had..."
Legislation, growth drive Cyprus turnaround: Cyprus's non-performing exposures ratio has experienced significant improvements, given stronger GDP growth and the adoption of an insolvency framework. At the same time, servicing is becoming an increasingly viable option for the restructuring of delinquent loans...

Deal news
• The final three properties securing the Beacon Seattle & DC Portfolio loan - securitised in six conduit CMBS - have been disposed of, resulting in approximately US$55.7m in additional realised losses on top of US$45.2m in losses previously incurred throughout the loan's term (see SCI's CMBS loan events database).
• Nearly 72% of DECO 11 - UK Conduit 3 noteholders have instructed the special servicer to explore options that may facilitate a faster resolution of the £216.4m Mapeley Gamma and £37.1m Wildmoor Northpoint loans. The move follows the restructuring of the two loans and the subsequent Fitch downgrade of the CMBS' class A1A and A1B notes.
• Kensington Mortgage Company is in the market with a £538.7m UK non-conforming RMBS. Dubbed Residential Mortgage Securities 29, the transaction is backed by seasoned collateral from five legacy deals that are scheduled to be called on their next IPDs.
• GM Financial is prepping its inaugural prime auto loan ABS. The US$1bn GM Financial Consumer Automobile Receivables Trust 2017-1 transaction is backed by 39,380 retail installment contracts originated or acquired by GM Financial.

Other news
• European CLO collateral pools have better average ratings, measured as lower WARF scores, and slightly lower weighted average coupons compared to US CLOs. However, European CLOs are smaller and lack liquidity compared to US CLOs, according to Morgan Stanley's European CLO factbook.
• The FHFA has postponed the implementation of Release 2 of the Common Securitization Platform until 2Q19. The agency says that additional time is required for the development, testing and validation of controls and governance processes necessary to "have the highest level of confidence that the implementation will be both smooth and successful".
• Moody's expects German carmakers to offer attractive financing terms and retain residual value risks to boost demand for their alternative fuel vehicles (AFVs) and encourage AFV adoption. However, as the technology matures and AFV penetration increases, residual value risk is likely to shift to new industry participants.


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