SCI Start the Week - 4 December

Category: ABS CDO CLOs

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

The pipeline burst back into life last week as 10 ABS deals were added. There were also three RMBS, six CMBS and two CLOs announced.

The ABS were: US$200m American Credit Acceptance Receivables Trust 2017-4; US$400m Avis Budget Rental Car Funding Series 2017-2; CNY4bn Bavarian Sky China 2017-3; US$126.32m CarNow Auto Finance Trust 2017-1; US$270m Foundation Finance Trust 2017-1; US$722.5m KDAC Aviation Finance; US$298.33m HERO Funding 2017-3; US$515m OneMain Direct Auto Receivables Trust 2017-2; US$425m SoFi Professional Loan Program 2017-F; and US$1.025bn Wendy's Funding Series 2018-1.

US$1.852bn Freddie Mac SCRT Series 2017-4, US$300m LoanDepot Station Place Agency Securitization Trust 2017-1 and US$200m STACR 2017-HRP1 were the RMBS. The CMBS were: US$140m BAMLL 2017-SCH; US$1.05bn BANK 2017-BNK9; US$1.311bn CHT 2017-CSMO; US$1.322bn FREMF 2017-K70; US$365m MSC 2017-JWDR; and US$684m UBS 2017-C6.

The CLOs were €420m ALME Loan Funding IV and €370m Carlyle Euro CLO 2017-3.

In a busy week, there were also six ABS prints, five RMBS, five CMBS and eight CLOs.

The ABS were: €4.22bn Adriano Lease Sec; US$239.4m Consumer Loan Underlying Bond Credit Trust 2017-P2; US$253.96m HERO Funding 2017-3; US$530m Juniper Receivables; A$542.5m Latitude Australia Personal Loans Series 2017-1; and A$300m Liberty Series 2017-1 Auto.

The RMBS were: US$210.16m Angel Oak Mortgage Trust I 2017-3; US$671.69m JPMMT 2017-5; €600m Pontormo RMBS 2017; A$250m RedZed Trust 2017-2; and €6bn TDA Sabadell RMBS 4.

The CMBS were: US$540m BBCMS 2017-GLKS; US$273.7m BX Trust 2017-CQHP; US$696.7m CCUBS 2017-C1; US$1bn GSMS 2017-GS8; and US$785.9m WFCM 2017-C41.

The CLOs were: US$505.45m CIFC Funding 2012-2R; US$611.6m Dryden 53 Senior Loan Fund; US$586m FDF 2017-3; US$492m Harvest CLO XIIX; US$610.8m Long Point Park CLO; US$460m Oaktree CLO 2015-1R; USS$460m OCP CLO 2015-10R; and US$259.8m RAIT 2017-FL8.

Editor's picks
Fresh blow adds to CMBS retail woes: The retail sector's well-publicised woes are affecting both primary and secondary CMBS. While the high retail concentration in outstanding US CMBS continues to concern the market, the retreat of lenders from the retail space means that now even healthy malls are struggling to attract financing...
Hurdles remain for Chinese ABS: Chinese securitisation issuance reached RMB808bn in aggregate from 425 transactions last quarter, up from RMB498bn from 318 deals as of 3Q16, according to Fitch. However, while the domestic ABS sector may be growing, the market is unlikely to reach full maturity until it becomes truly cross-border...
Provisioning differences highlighted: UniCredit and Intesa Sanpaolo recently revealed differences over the ECB's provisioning guidelines, with the spotlight falling on non-performing loan recovery mechanisms. Speaking at IMN's Investors' Conference On Italian & European NPLs, representatives from the lenders also discussed their NPL strategies going forward...
Fino phase two initiated: UniCredit has closed Fino 1 Securitisation, marking the beginning of phase two of Project FINO, its plan to sell down a portion of the retained exposure relating to a €17.7bn portfolio of non-performing loans (SCI passim). The lender can now apply for the Italian GACS guarantee and sell the senior notes to investors, a first for GACS senior notes...
Risk transfer come-back: Bank of Ireland has returned to the risk transfer market with Mespil Securities 2017-1. The lender's latest capital relief trade will increase its common equity Tier 1 capital ratio by 0.45% and comes a year after it carried out a similar transaction on around €3bn of loans from its business banking and corporate banking divisions in Ireland (see SCI's capital relief trades database)...
US CLOs rising: US CLO secondary market volumes and pricing levels are once again rising. "Overall November has been an up month for CLOs across the board," says one trader. "Secondary spreads remain firm to slightly tighter despite high BWIC volumes..."

Deal news
• LoanDepot is in the market with a US$300m repo RMBS transaction, marking the first issuance under the Station Place programme (SCI 5 February 2016) in which the non-bank lender is acting as repo seller, as well as sponsor and servicer. Dubbed LoanDepot Station Place Agency Securitization Trust 2017-1, the deal comprises a revolving warehouse facility collateralised by newly originated first-lien, fixed-rate residential mortgage loans eligible for purchase by Fannie Mae and Freddie Mac or for guarantee by Ginnie Mae.

Regulatory update
• The UK buy-to-let (BTL) market could see a drop in lending volumes and RMBS issuance, following the introduction of new regulations by the PRA. New energy requirements coming into force in April may also strain the sector, although they could lead to the emergence of a green UK RMBS asset class.