Monday 6 March 2017 11:05 London/ 06.05 New York/ 19.05 Tokyo

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

Pipeline
The volume of additions to the pipeline increased a little last week. There were eight new ABS announced, as well as an ILS, three RMBS and four CMBS.

The ABS were: Avis Budget Series 2017-1; US$409.2m ECMC Group Student Loan Trust 2017-1; US$1.25bn GM Financial Automobile Leasing Trust 2017-1; Golden Bear 2017-1; Latitude Australia Credit Card Loan Note Trust 2017-1; OSCAR US 2017-1; CNY4bn Shanghe 2017-1; and US$1.5bn Toyota Auto Receivables 2017-A Owner Trust.

The ILS was US$270m Aozora Re 2017, and the RMBS were US$140m Angel Oak Mortgage Trust I Series 2017-1, US$757m New Residential Mortgage Loan Trust 2017-1 and Resimac Premier Series 2017-1. The CMBS were US$366.6m Greystone CRE 2017-FL1, US$1bn GSMS 2017-GS5, US$1.1bn JPMCC Commercial Mortgage Securities Trust 2017-JP5 and US$567.4m PFP 2017-3.

Pricings
The industry conference in Las Vegas did appear to have an effect on completed issuance. There were just a couple of ABS prints, as well as two RMBS, one CMBS and three CLOs.

C$408m CNH Capital Canada Receivables Trust 2017-1 and £432m Driver UK Multi-Compartment Comp Driver UK Five were the ABS, while the RMBS were €507m Berica 5 and €315m-equivalent Bluestep 4. The CMBS was US$525m WFCMT 2017-RC1 and the CLOs consisted of US$412.5m Benefit Street Partners CLO 2014-5R, US$564.5m Dryden Senior Loan Fund 2014-34R and US$320m NewMark Capital Funding 2014-2R.

Editor's picks
Leverage signals maturing CRT market: The increasing availability of leverage suggests that the risk transfer market is maturing. However, while financing can be applied in a number of ways, the extensive due diligence required means that participation in capital relief trades remains limited to sophisticated investors...
US CLO arbitrage favours refis: US CLO refinancings began in earnest late last year and have grown apace in 2017, dwarfing new issuance. Extremely tight arbitrage between leveraged loan spreads and CLO liability costs has further constrained primary volumes, suggesting refis will dominate issuance for the foreseeable future...
MSR transfers under scrutiny: The purchase by non-banks of MSR portfolios from large US banks has ramped up in recent months, as the associated capital charges bite. However, such activity has sparked concern about the ability of the buyers to adequately manage the MSRs and the potential impact on the RMBS market...
German NPL sales to accelerate: Germany's positive economic outlook and the loans' relatively low cost of capital have historically meant that German banks are under less pressure to dispose of non-core assets in any significant volume. However, the introduction of IFRS 9 is expected to accelerate NPL sales in the country (and other European jurisdictions) over the coming 12-24 months...
Trading expansion underlines optimism: INTL FCStone's broker-dealer rates group has expanded its trading remit into US agency CMBS and a wider spectrum of ABS, following the formation of a new securitised products group. Alongside its existing involvement in other securitised mortgage products, the move signals the firm's optimism about the value structured products will bring in 2017 and beyond...
Proposed retention metric assessed: Risk retention regulations in Europe and the US are severely flawed with respect to their key intention of imposing a strict loss retention requirement, argues a Sustainable Architecture for Finance in Europe (SAFE) white paper published last month. A new risk retention metric (RM) measuring an issuer's level of retention relative to the expected loss of a given securitisation is therefore proposed, but concerns about this metric have been raised...

Deal news
• JPMorgan is prepping an innovative US$1.1bn conduit CMBS collateralised by 43 commercial mortgage loans secured by 59 properties. Dubbed JPMCC 2017-JP5, the deal is the first conduit CMBS to utilise the horizontal structure to satisfy risk retention requirements.
• A rare UK consumer loan ABS has hit the market. Creation Consumer Finance's £535.69m LaSer ABS 2017 is backed by 470,321 unsecured personal and point of sale (POS) loans extended to individual borrowers in England and Wales.
• Angel Oak is in the market with its first rated non-prime RMBS - Angel Oak Mortgage Trust I 2017-1 (see SCI's pipeline). As with the issuer's previous unrated deals, the collateral combines loans to borrowers with prior credit events and self-employed borrowers who use bank statements to verify their income.

Regulatory update
• Midland Funding violated New York usury laws by charging interest rates of over 25% to borrowers, the US District Court for the Southern District of New York ruled this week. The decision brings a measure of resolution to the long-running Madden vs Midland case (SCI passim).


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