SCI Start the Week - 7 August

Category: ABS CDO CLOs


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

Pipeline
ABS deals accounted for more than half of last week's pipeline additions. There were seven ABS, three RMBS, two CMBS and a CLO.

The ABS were: US$1.305bn AmeriCredit Automobile Receivables Trust 2017-3; CNY3.67bn Bavarian Sky China 2017-2; A$350m CNH Industrial Capital Australia Receivables Trust Series 2017-1; US$442.78m DT Auto Owner Trust 2017-3; US$979.27m Hyundai Auto Receivables Trust 2017-B; US$350m MVW Owner Trust 2017-1; and US$991.7m S-JETS 2017-1.

Freddie Mac SCRT Series 2017-2, SMHL Securitisation Fund 2017-1 and US$1.296bn Towd Point 2017-4 were the RMBS. The CMBS were US$402m JPMCC 2017-FL10 and US$1.1bn WFCM 2017-C39, while the CLO was A10 TAF 2017-1.

Pricings
A long list of deals priced. There were nine ABS prints, five RMBS, seven CMBS and 11 CLOs.

The ABS were: €330m Aurorus 2017-B; US$1bn Chesapeake Funding II Series 2017-3; US$1.1bn Citibank Credit Card Issuance Trust 2017-A7; US$1.1bn Citibank Credit Card Issuance Trust 2017-A8; US$500.5m ECMC Group Student Loan Trust 2017-2; US$144.16m JG Wentworth XXXIX Series 2017-2; US$350m PFS Financing Corp Series 2017-B; US$501.06m Prosper Marketplace Issuance Trust Series 2017-2; and US$800m Westlake Automobile Receivables Trust 2017-2.

The RMBS were: €400m BPCE Master Home Loans 2017-2; US$443.8m Flagstar Mortgage Trust 2017-1; £400m London Wall Capital Investments 2017-1; US$300m New Residential Mortgage Loan Trust 2017-5; and €747m Popolare Bari RMBS.

The CMBS were: US$760m BX Trust 2017-APPL; US$780m CGDBB 2017-BIOC; US$671m CGMS 2017-MDDR; US$342.2m FREMF 2017-KJ15; US$334m GS 2017-500K; Sfr475m NOE Verwaltungszentrum-Verwertungsgesellschaft; and US$898.7m UBS 2017-2.

The CLOs were: €368.2m Armada Euro CLO I 2017-1; US$1.567bn CBAM CLO Management 2017-2; US$493.2m Dryden Senior Loan Fund 2013-28R; €473.85m Harvest CLO 2014-9R; US$503.4m ICG US CLO 2017-2; €330.5m Orwell Park CLO 2015-1R; €415.25m OZLME 2017-2; US$506.3m Rockford Tower CLO 2017-2; US$350.85m TCP Whitney CLO 2017-1; US$541m Venture CDO 2017-29; and US$509.15m Vibrant CLO 2017-7.

Editor's picks
Peripheral ABS playing catch-up: Structured finance issuance in the European core has held up well over the summer, with spreads continuing to grind tighter. Although peripheral ABS spreads remain wide of the core, the periphery appears to be catching up...
UK ILS hub to drive new issuance, innovation: The proposed ILS regulatory and tax regime due to come into effect on 1 January 2018 aims to put the UK on an even-footing with other jurisdictions and enable it to become a world leader in the catastrophe bond market (SCI 21 July). Notably, the framework is expected to create an accommodating tax environment for ILS vehicles, making it financially viable and efficient to issue in the UK - which could boost issuance and stimulate product innovation...
Regulatory call exercised for Calico: The Co-operative Bank last week announced a regulatory call of its Calico Finance Number One capital relief trade. The call was executed, after UK PRA approval, as part of the bank's plans to improve its capital position...
NPL servicer breaks new ground: Alvarez and Marsal has established the first independent business loan servicing company in Greece. Named Independent Portfolio Management, the fully owned subsidiary has been granted a servicer license by the Bank of Greece for the management of claims from loan and credit facilities in accordance with the local legal and regulatory framework...

Deal news
Sky Aviation Leasing International is in the market with an inaugural securitisation. Dubbed S-JETS 2017-1, the US$780.8m transaction is collateralised by a portfolio of 21 aircraft on lease to 16 lessees located in 13 countries.
Diarough Group - the trading name of Egon Holdings and Emby International - is marketing its first public ABS, having issued a private inventory securitisation in 2007. Dubbed Four Seas 2017-1, the latest US$150m transaction is collateralised by Diarough's rough and polished diamond inventory and outstanding receivables.
Nassau Re has priced an inaugural US$438m CLO. Dubbed Nassau 2017-I, the transaction is a broadly syndicated CLO managed by NCC CLO Manager, a wholly-owned subsidiary of Nassau Re affiliate Nassau Corporate Credit.

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