Monday 3 July 2017 11:19 London/ 06.19 New York/ 19.19 Tokyo

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

Pipeline
Only a handful of transactions remained in the pipeline last week. Of these, RMBS accounted for the majority of deals: US$393.97m CSMC 2017-RPL1, Residential Mortgage Securities 30 and US$784.33m Towd Point Mortgage Trust 2017-3. A pair of auto ABS - €574m Bumper 9 (NL) Finance and £542m Globaldrive Auto Receivables UK 2017-A - and an ILS (US$100m Fortius Re II Series 2017-1) were also announced.

Priced
CLO refinancings dominated new issuance last week. A number of ABS and RMBS also printed.

The CLO refinancings comprised: US$524.05m Anchorage Capital CLO 6 (refinancing), US$351.6m Black Diamond CLO 2013-1 (refinancing), US$472.6m BlueMountain CLO 2014-2 (refinancing), US$368m Cathedral Lake III (refinancing), €421m CVC Cordatus Loan Fund V (refinancing), US$322.13m Denali Capital CLO XI (refinancing), €297.6m Euro-Galaxy IV CLO (refinancing), €249.93m GLG Euro CLO I (refinancing), US$470m Highbridge Loan Management 3-2014 (refinancing), US$480m Jamestown CLO VI (refinancing), US$349m Neuberger Berman CLO XIX (refinancing), US$458.8m Octagon Investment Partners XV (refinancing), US$523.6m Palmer Square CLO 2015-2 (refinancing), US$521.25m Regatta IV Funding (refinancing), US$415.7m THL Credit Wind River 2013-1 CLO (refinancing) and US$304.5m WhiteHorse IX (refinancing). A pair of newly originated CLOs also priced - US$713m KKR CLO 18 and US$507.6m Shackleton CLO 2017-XI.

The ABS new issues comprised: €193m Aqua Finance No. 4, US$253.07m CAL Funding III Series 2017-1, US$160.9m College Ave Student Loans 2017-A, US$925m Discover Card Execution Note Trust 2017-5, US$850m Jimmy John's Funding Series 2017-1, £250m Newday Funding 2017-1, US$499.5m SoFi Consumer Loan Program 2017-4 and €134m Ulisses Finance No. 1. The US$350m Northshore Re II Series 2017-1 catastrophe bond also priced.

The US$210.45m Angel Oak Mortgage Trust I 2017-2, £242m Castell 2017-1, US$512m CSMC 2017-HL1, US$493m New Residential Mortgage Loan Trust 2017-4 and A$350m Triton Trust No. 7 Bond Series 2017-1 accounted for the RMBS prints. Finally, the US$376.7m Resource 2017-CRE5 CRE CDO rounded out last week's issuance.

Editor's picks
Risk-retention vehicle restructurings expected:
Appetite for European CLO risk-retention and warehouse investments is strong. Uncertainty post-Brexit around third-country provisions is proving a threat to the nascent development of CLO risk-retention vehicles, however...
Veneto liquidation opens NPL ABS opportunities: Veneto Banca and Banca Popolare di Vicenza will be wound down after the ECB confirmed that they are "failing or likely to fail". The Italian government is set to provide €17bn to cover losses from bad loans, while handing the 'good' assets to Intesa Sanpaolo for a symbolic amount. The government's intervention and recent amendments to the Italian securitisation law are expected to create opportunities for non-performing loan securitisation issuance from the jurisdiction...
IBRD debuts pandemic cat bonds: The World Bank has launched US$320m pandemic catastrophe bonds, with the aim of providing financial support to the Pandemic Emergency Financing Facility (PEF), its vehicle that channels surge funding to developing countries facing the risk of a pandemic. The IBRD CAR 111-112 note issuance marks the first time that pandemic risk in low-income countries is transferred to the capital markets...
Refinancings spur trading reversal: The CLO refinancing wave appears to have caused a reversal of trading trends for investment grade and non-investment grade tranches in the secondary market. Demand for refinanced paper - represented mainly by triple-A to triple-B tranches - has resulted in a -28% year-on-year pull-back in CLO BWICs and -47% in TRACE trading volumes for investment grade tranches, according to JPMorgan estimates...
Euro secondary solid: The European securitisation secondary market remains solid, despite distractions from primary and month-end. "As has been the case over the past few weeks, people are focused on primary, but secondary is still ticking over this week," says one trader. "Over the past couple of days, we've seen a number of bid lists going through and trading at decent to very good levels..."

News
• Crescent Capital Group has priced its latest broadly syndicated CLO. The US$413.7m Atlas Senior Secured Loan Fund VIII debuts an applicable margin reset (AMR) feature, which is designed to aid in the execution of CLO refinancings (SCI 5 September 2016).
Middle market CLO issuance is expanding in the US and emerging in Europe, with a variety of warehouse financing options for middle market loans and increasing variability. Increased middle market activity appears to be pressuring lenders, investors and arrangers, as demand exceeds available supply.
• Moody's has placed on review for possible upgrade the ratings of 41 private student loan ABS bonds - totalling approximately US$2.56bn worth of securities across 19 securitisations - issued by three marketplace lending platforms. At the same time, Fitch has released an exposure draft of criteria for rating US private student loan ABS that could result in multiple-category upgrades for certain senior classes of notes.
• College Avenue Student Loans has priced its first rated term ABS, dubbed College Ave Student Loans 2017-A. The US$160.89m transaction is backed by a mix of in-school and refinanced student loans originated online through the College Ave platform.
• Blackstone has priced an unusual US$536m single-borrower CMBS. Dubbed IMT Trust 2017-APTS, the transaction is collateralised by a first lien fixed- and floating-rate mortgage loan on 11 multifamily properties totalling 4,488 units, located in Texas, Florida and California.
• The Fannie Mae Grantor Trust 2017-T1 single-family rental securitisation from April was the first transaction backed entirely by institutionally-owned SFR properties (see SCI's primary issuance database). The transaction has several features not found in typical private SFR securitisations.
• Of all US CMBS loans secured by lodging properties, 10% are exposed to an elevated level of credit risk, with risks highest in Houston, Texas. KBRA has designated 255 loans it monitors as loans of concern, due to multiple underlying negative credit factors.
• The inclusion of electric vehicles in future European auto ABS collateral pools could introduce idiosyncratic risks. S&P says that these risks would warrant specific consideration in its ratings analysis.


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