SCI Start the Week - 9 October

Category: ABS CDO CLOs

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

It was a quieter week for the pipeline, with activity noticeably down on the week before. There were four ABS, four RMBS, three CMBS and two CLOs added.

US$196.3m CPS Auto Receivables Trust 2017-D, Eagle Credit Card Trust Series 2017-1, €486.5m TitriSocram 2017 and US$1.2bn Verizon Owner Trust 2017-3 accounted for the ABS. The RMBS were Fastnet 13, A$1.55bn Securitised Australian Mortgage Trust 2017-1, US$670m STACR 2017-HQA3 and Tower Bridge 1.

US$389.5m Hyatt Hotel Portfolio Trust 2017-HYT2, US$1.05bn MSBAM 2017-C34 and US$743m Towd Point Mortgage Trust 2017-5 constituted the CMBS. The CLOs were €466m BlackRock European CLO IV and US$406.715m NXT Capital CLO 2017-2.

There were 14 ABS prints in the week, accounting for around half of the week's total issuance. There were also four RMBS, a CMBS and eight CLOs.

The ABS were: US$741.75m Bank of the West Auto Trust 2017-1; US$750m Canadian Pacer Auto Receivables Trust 2017-1; US$1.5bn Capital One Multi-Asset Execution Trust 2017-4; US$600m Capital One Multi-Asset Execution Trust 2017-5; US$900m Capital One Multi-Asset Execution Trust 2017-6; C$431m CNH Capital Canada Receivable-Backed Notes Series 2017-2; US$258.2m Diamond Resorts Owner Trust 2017-1; US$825m Discover Card Execution Note Trust 2017-7; US$1.4bn Ford Credit Floorplan Master Owner Trust A Series 2017-2; US$575.16m Ford Credit Floorplan Master Owner Trust A Series 2017-3; US$987.31m GM Financial Consumer Automobile Receivables Trust 2017-3; US$1.25bn Nissan Auto Lease Trust 2017-B; US$155.55m Oportun 2017-B; and US$737.86m SoFi Professional Loan Program 2017-E.

The RMBS were: US$512.45m CIM Trust 2017-7; US$237m Freddie Mac 2017-SB39; US$1.7bn Freddie Mac SCRT 2017-3; and US$350.4m Sequoia Mortgage Trust 2017-7. The CMBS was US$991.8m FNA 2017-M12.

Lastly, the CLOs were: Cadogan Square CLO X; US$488.75m Elevation CLO 2014-2; US$517.5m Galaxy CLO 2013-15; US$301.2m KCAP Senior Funding I 2017-1; US$456.9m LCCM 2017-FL1; US$608m Mariner CLO 2017-4; US$504.7m Northwoods Capital XVI; and US$481.23m Wind River CLO 2013-2.

Editor's picks
New dawn for bank funding strategies?: The European securitisation market faces what is expected to be an "interesting" year ahead, as low-cost central bank liquidity dries up and banks adopt new funding strategies. Together with boosting primary ABS issuance, Bank of England and ECB tapering will likely impact the volume of paper being retained...
Risk retention capital largely deployed?: The availability of risk retention financing has been one of the main reasons that CLO supply has outpaced most projections. Responses to JPMorgan's Q4 CLO survey suggest that US$115bn out of a total risk retention capacity of US$200bn may now have been deployed...
Credit unions to tap ABS market?: US credit unions could soon tap the securitisation market after the National Credit Union Administration stated that such institutions have the authority to issue ABS. The move follows legislation that allows credit unions to adopt powers granted to federal institutions, meaning 3,600 federal credit unions could adopt the ruling immediately...

Deal news
• Belmont Green Finance (BGF) is in the market with an inaugural £201.53m UK non-conforming RMBS. Dubbed Tower Bridge Funding 1, the securitisation comprises newly-originated first-lien mortgages originated through the Vida Homeloans brand.
• Chimera Investment Corp is marketing its first rated re-performing loan RMBS, dubbed CIM Trust 2017-7. The US$512.45m securitisation is backed by 3,548 seasoned performing and re-performing first-lien mortgage loans, with US$34.4m of the pool balance comprising non-interest bearing deferred principal amounts.
• Bespoke Capital has established a direct lending warehouse facility, set up as a cashflow securitisation dubbed Be-Spoke Loan Funding, to fund a portfolio of loans granted to Spanish SMEs. The initial transaction portfolio - comprising 21 obligations - stands at €70.8m, with warehouse notional expected to reach €400m, as of the last drawing point.

Regulatory update
• The ECB has launched a public consultation on a draft addendum to its guidance on non-performing loans, under which banks will be expected to provide full coverage for newly classified NPLs. The new rule aims to reinforce guidance with regards to fostering timely provisioning and write-off practices.