SCI Start the Week - 30 October

Category: ABS CDO CLOs

Previous Story       Next Story

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


There were notably fewer pipeline additions last week. The final count consisted of an ABS, five RMBS, four CMBS and a CLO.

US$340m Tesla 2017-1 was the ABS. The RMBS were: US$170.2m Bayview Opportunity Master Fund IVb Trust 2017-RT6; US$207.2m CoreVest American Finance 2017-1; US$486m Flagstar Mortgage Trust 2017-2; C$520m Fortified Trust Series 2017-1; and US$343.51m MetLife Securitization Trust 2017-1.

US$1.1bn BANK 2017-BNK8, US$470m JPMCC 2017-FL11, US$743m UBS 2017-C5 and US$705m Worldwide Plaza Trust 2017-WWP were the CMBS. The sole CLO was US$510.5m THL Credit Wind River 2017-4.


There were 14 ABS prints in the week, as well as an ILS, three RMBS and nine CLO/CDOs.

The ABS were: €958.4m Alba 9; US$1.825bn American Express Credit Account Master Trust Series 2017-6; US$782.14m American Express Credit Account Master Trust Series 2017-7; US$570.55m American Express Credit Account Master Trust Series 2017-8; US$160.58m Avant Loans Funding Trust 2017-B; £535m Bavarian Sky UK 1; US$565.31m Capital Auto Receivables Asset Trust 2017-1; US$1bn Chesapeake Funding II 2017-4; US$1bn Ford Credit Auto Lease Trust 2017-B; C$519.25m Ford Auto Securitization Trust Series 2017-R5; £223m Marketplace Originated Consumer Assets 2017-1;US$883.56m Synchrony Credit Card Master Note Trust Series 2017-2; US$128.74m Veros Auto Receivables Trust 2017-1; and Wizink Master Credit Cards 2017-02.

US$368.11m Bellemeade Re 2017-1 was the ILS. The RMBS were €415m FT RMBS Prado V, A$605m-equivalent Pepper Residential Securities Trust No.19 and STACR 2017-SPI1.

The CDO/CLOs were: US$535.31m Cerberus 2017-4; US$563m Fortress Credit BSL IV; US$338.52m ICG US CLO 2014-1R; US$375m Ivy Hill Middle Market Credit Fund 2013-7R; US$537m Jubilee CLO 2017-XIX; US$350m Monroe Capital MML CLO 2017-1; US$561.3m Neuberger Berman Loan Advisers CLO 26; €435m St Paul's CLO IV; and US$340.4m Trups Financials Note Securitization 2017-2.

Editor's picks

ESNs 'not needed yet': European Structured Notes (ESNs) have been on the radar for some time and a recent Moody's analysis praises their potential to offer an additional funding tool to banks. However, it remains far from clear that the banks themselves are pushing for this new type of collateralised bond to be introduced...

Proportionality for capital floors?: The general secretary of the Basel Committee has confirmed that the "finish line is in sight" for the Basel 4 reforms, although his statement fell short of confirming any concrete compromise on capital floors. The statement could be taken as confirmation of a finalisation, given growing momentum at the EU level for more proportionality in regulation...

Libor replacement a "steep challenge": A transition to a replacement reference rate away from Libor by 2021 will be a "steep challenge" within structured finance documentation, according to S&P. The rating agency says the ultimate impact will depend on a number of factors, including whether current IBORs will be maintained for existing transactions until final maturity or whether existing transactions need to shift benchmarks...

Deal news

• Veros Credit has prepped an inaugural rated US$165.28m subprime auto ABS. The transaction, Veros Auto Receivables Trust 2017-1, is backed by a pool of 17,328 seasoned subprime auto loan contracts secured mostly by used vehicles.
• LV Tower 52 has launched a US$157m timeshare ABS, marking the firm's first transaction that Fitch has not capped at single-A. Elara HGV Timeshare Issuer 2017-A is backed by 5,309 timeshare loans tied to a single resort in Las Vegas.
Alpha Bank has successfully completed a US$250m true sale securitisation via Citi, its second such transaction in three years. The non-recourse four-year term deal diversifies liquidity access for the lender, and is one of the very few shipping securitisations globally.
• Global Jet Capital's debut securitisation, Business Jet Securities 2017-1, has been postponed, according to a source close to the transaction. This follows a recent comment from Fitch (SCI 11 October) which questioned the integrity of the transaction and the ratings assigned by Kroll Bond Rating Agency (SCI 28 September).
• Another CLO - Fortress Credit BSL IV - is being repackaged to issue the senior notes in Japanese yen rather than US dollars. There were three repacks in August arranged by Mitsubishi UFJ Morgan Stanley Securities (SCI 16 August 2017).