SCI Start the Week - 5 June

Category: ABS CDO CLOs

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

With many market participants decamping to Barcelona this week for the industry conference, there was a notable slow-down in last week's pipeline additions. The final count consisted of seven new ABS, an ILS, two RMBS and a CMBS.

The ABS were: US$259.71m CCG Receivables Trust 2017-1; Citizen Irish Auto Receivables Trust 2017; US$231.684m CommonBond Student Loan Trust 2017-A-GS; US$2.075bn Domino's Pizza Master Issuer Series 2017-1; US$1.25bn GM Financial Automobile Leasing Trust 2017-2; €600m SC Germany Auto 2017-1; and US$147.5m United Auto Credit Securitization Trust 2017-1.

US$250m Spectrum Capital Series 2017-1 was the ILS, while the RMBS were DCDML 2017-1 and US$350m Sequoia Mortgage Trust 2017-4. The CMBS was US$204m HMH Trust 2017-NSS.

There was good variety to the completed issuance. As well as six ABS prints there were four RMBS, four CMBS and six CLOs.

The ABS were: €567m Azzurro SPV 2017; US$210m Cajun Global Series 2017-1; C$500m Glacier Credit Card Trust 2017-1; US$250m Higher Education Student Assistance Authority (State of New Jersey) SLRB Series 2017-1; US$160m Oportun Funding VI Series 2017-A; and CNY4bn Rongteng 2017-2 Retail Auto Mortgage Loan Securitization.

The RMBS were: €10.5bn BPCE Home Loan FCT 2017-5; A$900m Harvey Trust 2017-1; A$2.4bn Medallion Trust Series 2017-1; and US$308.29m Nationstar HECM Loan Trust 2017-1.

The CMBS were: US$330m CGDB Commercial Mortgage Trust 2017-BIO; US$185m Del Amo Fashion Center Trust 2017-AMO; US$786.6m JPMCC 2017-JP6; and US$1.09bn Morgan Stanley Capital I Trust 2017-H1.

The CLOs were: US$349m ABPCI CLO II; US$347.7m Cutwater 2014-1; €363.7m GLG Euro CLO III; US$456.87m JPM Credit Advisors CLO 2017-1; US$349.2m MP CLO VI 2014-2; and US$561m Octagon Investment Partners XXXI.

Editor's picks
STS strikes investor and issuer balance: Further details have emerged over the STS securitisation agreement that was finalised this week (SCI 31 May). Most notably, the authorisation process for third parties that support verification and compliance with STS requirements strikes a balance between issuer and investor considerations...
MARF listing breaks new ground: The Mercado Alternativo de Renta Fija (MARF) has admitted a new synthetic securitisation dubbed FT PYMES Magdalena, set up by Banco Santander's securitisation management company, Sociedad Gestora Santander de Titulización SGFT. The move sets a precedent in terms of synthetics being publicly listed and is seen as a test case for the 2015 amendments to Spain's securitisation law...
Credit-scoring models contrasted: The importance to ABS of the VantageScore credit-scoring model continues to grow, with structured finance transactions increasingly using the credit metric. As such, rating agency DBRS believes investors would benefit from a greater understanding of the FICO alternative...
US CLOs stable: The US CLO secondary market continues to be stable. "The market is taking a bit of a pause and we're in the gap between last week's CLO conference in New York and Barcelona next," says one trader. "Overall market tone remains cautiously optimistic..."

Deal news
Blackstone is in the market with a US$330m CMBS backed by a two-year floating rate commercial mortgage. Dubbed CGDB 2017-BIO, the transaction is backed by a first lien on the borrower's fee and leasehold interests in a portfolio of 18 life science, office, laboratory and medical properties.

Regulatory update
A deal has been reached on the long-awaited new EU securitisation regulations, including a framework for STS securitisation. In what is being seen as a major step forward for the European ABS market, the European Commission, Council and Parliament reached a compromise yesterday evening, with risk retention requirements to remain unchanged at the current minimum of 5% and several punitive regulations omitted (SCI 19 May).