Monday 6 February 2017 17:30 London/ 12.30 New York/ 01.30 (+ 1 day) Tokyo

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

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Pipeline
Last week's pipeline additions were once more split between ABS and RMBS. There were six of the former and five of the latter.

The ABS were: C$400m BMW Canada Auto Trust 2017-1; US$419.789m California Republic Auto Receivables Trust 2017-1; US$435.54m DT Auto Owner Trust 2017-1; US$490.34m GreatAmerica Leasing Receivables Funding Series 2017-1; US$411m Prop 2017-1; and SSTRT 2017-1.

The RMBS were: US$266m Bayview Opportunity Master Fund IVb Trust 2017-CRT1; US$348m Sequoia Mortgage Trust 2017-2; Torrens 2017-1; £1.65bn Towd Point 2017-Auburn 11; and US$2.076bn Towd Point Mortgage Trust 2017-1.

Pricings
There was a long list of freshly priced deals. As well as seven ABS prints there were also four RMBS, two CMBS and 11 CLOs - with these significantly boosted by refinancings.

The ABS were: £525m Bumper 8; US$500m Chase Issuance Trust 2017-1; US$400m Exeter Automobile Receivables Trust 2017-1; US$380m Falcon Aerospace; US$772m SMB Private Education Loan Trust 2017-A; US$561m SoFi Professional Loan Program 2017-A; and US$420m State Board of Regents of the State of Utah Series 2017-1.

The RMBS were: €3.2bn BPCE Master Home Loans 2017-1; €1.811bn FCT Elide 2017-01; US$400m NRZ Advance Receivables Trust 2015-ON1 Series 2017-T1; and US$802m STACR 2017-DNA1. The CMBS were US$977m BAML Commercial Mortgage Trust 2017-BNK3 and US$350m GSMS 2017-485L.

Lastly, the CLOs were: US$478.5m Atlas CLO 2014-6R; €369m CGMSE CLO 2013-1R; US$816m CIFC Funding 2017-I; €280.25m Dryden Leveraged Loan 2014-32R; US$503.9m GoldenTree Loan Opportunities 2014-8R; US$395m Limerock CLO 2014-3R; €324.9m Newhaven CLO 2014-1R; US$664.3m Sound Point CLO 2017-1; US$336.5m Steele Creek 2014-1R; €414m St Paul's CLO VII; and US$612m THL Credit Wind River CLO 2017-1.

Editor's picks
Bridging the gap: Achieving valuations that satisfy both sellers and investors has been a major sticking point in many recent European non-performing loan transactions. This has been most notable in Italy, where the wide bid/ask gap has hindered sales of NPLs to SPVs for securitisation purposes. The EBA's latest proposals seek to address this valuation discrepancy by purchasing the loans from banks at 'real economic value', rather than market price...
New worlds: The Latin American structured finance markets are changing, with significant shifts in Argentina and Brazil, as well as changes in the Mexican market. Regulatory initiatives are opening up new possibilities, with deal structures adapting and new markets on the horizon...
Repurchase plan: Nuova Banca delle Marche has completed the NPL repurchases from its securitisations in accordance with the Italian state's resolution plan. The €74.3m sale proceeds from this latest repurchase will be used to repay the Marche Mutui 4 RMBS notes on the next interest payment date in February...
Euro ABS/MBS rising: Volumes and pricing levels are rising in the European ABS/MBS secondary market this week. "In the first few weeks of the year there was very little client selling, but that's changing and it's been getting busier this week," says one trader. "We saw some Italian auctions Monday and Tuesday, Spanish yesterday and it's primarily Spanish and Portuguese today..."

Deal news
• Lone Star's Irish non-conforming RMBS, which it privately-placed in November (SCI 29 November 2016), was notable for its mixed pool of performing and non-performing mortgages. The €536.5m European Residential Loan Securitisation 2016-1 - Ireland's first post-crisis NPL RMBS - is expected to pave the way for further such mixed-pool issuances.
• The first new issue European CLO of the year, St Paul's CLO VII, has priced. The €414m deal was arranged by Deutsche Bank for ICG, with the bank noting that a structural novelty in certain tranches enables investors to take a rates view.
• Freddie Mac has priced its first offering of multifamily aggregation risk transfer certificates. The US$1bn FMPRE 2017-KT01 is backed by multifamily mortgage loans that are awaiting sale into K-Series securitisations.
• Freddie Mac has priced the US$802m STACR Series 2017-DNA1, its first low-LTV risk-sharing RMBS of the year. The GSE has followed Fannie Mae's recent structural enhancement to its CAS programme in issuing a split B tranche (SCI 26 January).
• ISDA's Americas Credit Derivatives Determinations Committee has resolved that a bankruptcy credit event occurred in respect of Avaya Inc. The company announced on 19 January that it had filed voluntary petitions under chapter 11 of the US Bankruptcy Code.

Regulatory update
APRA released the final version of its updated Prudential Standard APS 120 last November (SCI 10 November 2016) and has now launched a consultation on revisions to associated reporting requirements for securitisation. These reporting requirements are expected to take effect from 1 January 2018.
• The UK FCA has launched a consultation on proposed changes to its Handbook to reflect the new regulatory framework for ILS. The consultation is open until mid-March, with a policy statement expected in 2Q17.
SFIG has published the first edition in a series of papers aimed at supporting the responsible growth of securitisation in the marketplace lending sector. These green papers are a product of the association's marketplace lending committee best practices initiative and are released with the aim of stimulating further debate and discussion.


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