SCI Start the Week - 5 December

Category: ABS CDO CLOs


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

SCI content this week is sponsored by BNY Mellon. All content this week is being made available free of charge, with no registration required.

Pipeline
There were a dozen deals added to the pipeline last week, including three Towd Point deals. In total there were six ABS, two RMBS and four CMBS added.

The ABS were: Canadian Credit Card Trust II Series 2016-1; US$784m Ford Credit Floorplan Master Owner Trust A Series 2016-5; US$125m HERO Residual Funding Trust 2016-1R; Motor 2016-1; US$424.59m Springleaf Funding Trust 2016-A; and £268m Towd Point 2016-Granite 3.

£800m Towd Point Mortgage Funding 2016-Vantage 1 and US$390m Towd Point Mortgage Trust 2016-5 made up the RMBS. The CMBS consisted of US$652.9m CFCRE 2016-C7, US$913.4m CGCMT 2016-P6, US$819.3m JPMCC Commercial Mortgage Securities Trust 2016-JP4 and US$909m MSBAM 2016-C32.

Pricings
There was a long list of pricings last week. At the final count there were 10 ABS prints, five RMBS, six CMBS and 13 CLOs.

The ABS were: US$800m Capital One Multi-asset Execution Trust 2016-A6; US$475m Capital One Multi-asset Execution Trust 2016-A7; US$2bn Citibank Credit Card Issuance Trust 2016-A1; US$500m Citibank Credit Card Issuance Trust 2016-A2; US$283.6m HERO Funding 2016-4; US$1.5bn Huntington Auto Trust 2016-1; US$85.34m LendingClub Issuance Trust Series 2016-NP2; €730m Red & Black Auto Lease Germany 2; €1.015bn Santander Consumo 2; and €655m Valsabbina SPV 1.

The RMBS were: US$241.23m Bayview Opportunity Master Fund Iva 2016-SPL1; €536m European Residential Loan Securitisation 2016-1; €1.18bn Hypenn RMBS VI; JPMMT 2016-4; and A$500m Resimac Triomphe Trust - Resimac Premier Series 2016-2.

The CMBS were: US$701.68m CAS 2016-C07; US$415m JPMCC 2016-ASH; US$555m Morgan Stanley Capital Citigroup Trust 2016-SNR; RUB4bn Mortgage Agent MKB 2; US$477m New Residential Mortgage Loan Trust 2016-4; and US$280m RAIT 2016-FL6.

Lastly, the CLOs were: US$456m Allegro CLO 2016-1; US$614.1m Ares XLI CLO; US$537.6m Bain Capital Credit CLO 2016-2; US$125m Callidus ABL Corporation 2016-1; US$579m Carlyle Global Market Strategies CLO 2014-1R; US$408.75m Catamaran CLO 2016-1; US$488.4m CIFC Funding 2015-1R; US$410.4m HPS Loan Management 10-2016; €2.5bn IM Grupo Banco Popular Empresas VII; US$419.87m Jamestown CLO 2012-1R; US$407.6m LCM Partnership 2016-23; US$658.03m OHA Loan Funding 2015-1R; US$614m Riserva CLO.

Editor's picks
Tip of the iceberg?: Securitisation is increasingly recognised as providing the 'double bottom-line' benefits sought by impact investors. Indeed, the number of impact investors allocating to ABS is expected to continue rising alongside issuers seeking to broaden their investor base, despite the election of reported climate change denier Donald Trump...
Digging deeper: A recent JPMorgan study of 48 US CLOs shows that from 2013 to date there has been an average increase in WARF score from 2,719 to 2,899, while yields have decreased on average 48bp. The findings suggest that investors are not being adequately compensated, but market participants remain optimistic about the sector...
Developing marketplace: Representatives from Orchard Platform, MountainView and Global Debt Registry joined SCI over the summer to discuss marketplace lending developments. This Q&A article highlights some of the main talking points from the session, including the importance of thorough due diligence and data verification, regulatory developments and the prospect of market consolidation...
Innovative Griffon deal welcomed: Griffon Funding - which Barclays closed in September - has been hailed as an innovative model for banks seeking to reduce their regulatory capital requirements. The £2.43bn privately-placed true sale balance sheet CMBS is backed by 57 loans secured by 1,516 properties and over 12,000 lease contracts...
Rare Irish RMBS priced: Lone Star has privately placed a rare Irish non-conforming RMBS. Dubbed European Residential Loan Securitisation 2016-1, the €536.6m transaction is backed by both performing (representing 32.58% of gross book value) and non-performing (63.81%) mortgages originated by Irish Nationwide Building Society...
Euro ABS/MBS distracted: New deals are continuing to keep focus away from the European ABS/MBS secondary market. "Primary is still distracting most players, with a couple of new deals in particular drawing most attention right now," says one trader. "The Red & Black auto deal is pretty straightforward, but the next Towd Point issue is more complex and it's taking a bit of time for people to fully understand the credit and get comfortable with it..."

Deal news
• Renovate America is in the market with an usual PACE securitisation. Dubbed HERO Residual Funding 2016-1R (Cayman), the US$125m transaction is backed by the residual certificates of five previously issued PACE ABS from the HERO platform.
• The note trustee for Titan Europe 2006-5, US Bank (previously ABN Amro), has instructed the cash manager to retain €50m to provide for potential liability arising from class X noteholder contentions. As with a further four other Titan deals which are subject to class X noteholder litigation, it is unknown whether additional class X interest following default will ultimately rank senior to class A1 principal.
• The class B, C and D notes of Invitation Homes 2013-SFR1 have been upgraded by Moody's as a result of the steady build-up in equity in the properties backing the securitisation. IH 2013-SFR1 was the first-ever single-family rental securitisation (SCI 1 November 2013) and the move marks the first-ever upgrade for the segment.
• Structural amendments have been implemented in relation to Dutch auto lease ABS Highway 2015-I, following a change in ownership of the transaction's originator, Athlon Car Lease Nederland. Mercedes-Benz Financial Services Nederland acquired all the shares in Athlon on 1 December.
Unique Pub Finance Co last week cancelled £37m out of the £190m liquidity facility amount available to the UK whole business securitisation via an agreement with RBS. Going forward, the liquidity facility amount will be sized to cover the maximum amount of debt service over any future 18-month period, with the amount available for the class M and N notes limited to £45m and £12.5m respectively.

Regulatory update
• The European Commission's CRR 2 reforms, which it unveiled last week, include proposals that appear to increase the attractiveness of securitisation in connection with the leverage ratio and net stable funding ratio (NSFR). The package embeds three main Basel 3 elements into EU law: the fundamental review of the trading book (FRTB), the leverage ratio and the NSFR.
SFIG has released a green paper on the responsible growth of securitisation in the marketplace lending sector, focusing initially on sufficient data disclosure. The paper seeks to identify a framework of market standards and recommends best practices through an open discussion among a broad cross-section of market participants.

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