SCI Start the Week - 31 July

Category: ABS CDO CLOs


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

Pipeline
The rate of pipeline additions stayed consistent last week. There were six new ABS, five RMBS and five CMBS added.

The ABS were: Chesapeake Funding II Series 2017-3; US$140m JG Wentworth XXXIX Series 2017-2; US$300m PFS Financing Corp Series 2017-B; US$501.06m Prosper Marketplace Issuance Trust Series 2017-2; CNY2.52bn VINZ 2017-2 Retail Auto Loan Securitization Trust; and US$700m Westlake Automobile Receivables Trust 2017-2.

The RMBS were: US$125.82m Bayview Opportunity Master Fund IVb Trust 2017-RT2; US$443.8m Flagstar Mortgage Trust 2017-1; £397m London Wall Capital Investments; US$330m New Residential Mortgage Loan Trust 2017-5; and Puma Trust 2017-1.

The CMBS were: US$334m GS 2017-500K; US$200m GS Mortgage Securities Corporation Trust 2017-STAY; Hunt Commercial Real Estate Notes 2017-FL1; US$243.8m RCMF 2017-FL1; and US$898.7m UBS 2017-2.

Pricings
The number of prints also remained broadly consistent with the previous week, although there were slightly more ABS last week. In total there were 12 ABS, an ILS, six RMBS, five CMBS and seven CLOs.

The ABS were: US$518.68m American Express Credit Account Master Trust Series 2017-5; US$221.3m DRB Prime Student Loan Trust 2017-B; US$733.62m Drive Auto Receivables Trust 2017-2; US$650m Dryrock Issuance Trust 2017-2; €850m FCT Cars Alliance DFP Germany 2017; C$575m Ford Floorplan Auto Securitization Trust Series 2017-F1; €620m Ginkgo Master Revolving Loans 2017-1; US$172.75m HERO Funding 2017-2; US$232.9m Laurel Road Prime Student Loan Trust 2017-B; US$399.39m Nelnet Student Loan Trust 2017-2; US$1.2bn Toyota Auto Receivables 2017-C Owner Trust; and US$660.68m World Omni Auto Receivables Trust 2017-B. The ILS was US$290m Fonden Series 2017-1.

The RMBS were: €2.45bn Caixabank Consumo 3; £320m Charter Mortgage Funding 2017-1; €869m Dutch Property Finance 2017-1; Freddie Mac Whole Loan Securities Trust Series 2017-SC02; €9.242bn Red & Black Home Loans France 1; and US$240m Verus Securitization Trust 2017-2.

The CMBS were: US$931.6m CD 2017-CD5; US$125.7m CSMC Trust 2017-MOON; US$911m JPMCC 2017-JP7; US$469m JPMCC 2017-MAUI; and US$150m West Town Mall Trust 2017-KNOX.

The CLOs were: US$598.1m Ares CLO 2015-2R; US$552m Carlyle Global Market Strategies 2013-1R; US$609.9m Dryden Senior Loan Fund 2017-50; US$483m Nassau 2017-1; US$457.3m OCP CLO 2016-11R; US$511.5m Octagon Investment Partners 32; and US$456m Wind River CLO 2015-1R.

Editor's picks
Self-cert 'drafting error' unlikely to stand: A recent amendment to Article 17 of the new European securitisation regulations would ban self-certified mortgages from all new securitisations, sparking concern about the impact this might have on the European RMBS sector. However, the clause appears to be a drafting error and is expected to be corrected before the final rules are implemented...
Synthetic mortgage 'game changer' awaited: The inclusion of mortgages in leverage ratio calculations and lower risk weights for the asset are at present limiting the issuance of synthetic RMBS. Indeed, capital relief trade players are awaiting the EBA's forthcoming risk transfer guidelines to introduce regulatory consistency and clarity over the future of the product...
Bond classification trends eyed: Banks have favoured adding hold to maturity bonds to their portfolios in recent years. However, new FASB accounting rules are set to allow prepayable assets to qualify for hedge accounting, which could see bank demand increase for available for sale agency RMBS and CMBS securities...

Deal news
• Flagstar Bank is in the market with an RMBS which exhibits a unique servicing structure (see SCI's deal pipeline). Flagstar Mortgage Trust 2017-1 is Flagstar's first issuance since the financial crisis and marks a departure from previous offerings as it is backed by prime mortgage loans.

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