Monday 4 February 2019 16:58 London/ 11.58 New York/ 00.58 (+ 1 day) Tokyo

A review of securitisation activity over the past seven days

Transaction of the week

Bank of Montreal has printed a US and Canadian leveraged loan capital relief trade dubbed Manitoulin. The US$92.5m 7.3-year financial guarantee pays Libor plus 12.75%.

The transaction has been rated as triple-A on the class A notes, single-A on the class B notes and triple-B on the class C notes. Further features include the presence of replenishment, a sequential amortisation structure and early termination of the protection.

The issuer's last capital relief trade was another leveraged loan deal that was issued in September 2018. Deutsche Bank followed in December 2018 with its own leveraged loan transaction (see SCI's CRT database).

Other deal-related news

  • A pair of European RMBS transactions have been mandated, marking the first European securitisations of the year, barring CLOs (SCI 31 January). The first is a UK RMBS, dubbed Lanark 2019-1, from Clydesdale Bank, which has mandated BAML, BNP Paribas, Citi and Wells Fargo for the transaction, subject to market conditions. The second, from Italian lender Cassa di Risparmio di Bolzano, is a re-offer of the A1 tranche of its prime RMBS deal Fanes 2018.
  • Greencoat Investments has launched a tender offer for the Business Mortgage Finance 4, 5, 6 and 7 CMBS (SCI 28 January). Fixed purchase prices for the bonds range from 0.50% to 101% per £1,000/€1,000/US$1,000 in principal amount of notes and an additional 0.50%-10% per £1,000/€1,000/US$1,000 is available as an early tender premium.
  • CIFC has launched a UCITS fund - dubbed the CIFC Global Floating Rate Credit Fund - that will invest in liquid tranches of CLOs, with at least half of its funds allocated to triple-B rated bonds (SCI 30 January). The fund, which has launched with commitments of over £50m, is managed by Jay Huang and is targeting a return of 7%-8% per annum.
  • Redwood Trust is participating in an investment fund created to acquire up to US$1bn of floating rate, light-renovation multifamily loans from Freddie Mac (SCI 30 January). After acquisitions have reached a specific threshold, the partnership may agree to include the related loans in a Freddie Mac-sponsored securitisation.
  • The Holiday Inn Baltimore Inner Harbor loan, securitised in the JPMCC 2015-JP1 CMBS, turned 30-days delinquent in January. The hotel's license agreement with IHG expires in 2022. For more CMBS-related news, see SCI's CMBS loan events database.

Regulatory round-up

ESMA has submitted its final templates, raising hopes for an STS deal in 1H19. The revised set of draft regulatory implementing technical standards (disclosure RTS/ITS) under the Securitisation Regulation, which concern the details of a securitisation to be published by the originator, sponsor and Securitisation Special Purpose Entity (SSPE), as well as the relevant format and templates.

ESMA states it agrees with the European Commission's (EC) requests to amend its disclosure RTS/ITS and has expanded the ability for reporting entities to use the "No Data" options in the respective disclosure templates, in particular in the templates for asset-back commercial paper securitisation. In addition, ESMA has also adjusted the content of certain fields in the templates, where it considered that this could more appropriately address the EC's request. ESMA has also clarified the templates to be used to provide any inside information as well as information on significant events affecting the securitisation (under (f) and (g) of Article 7(1) of the Securitisation Regulation).

ESMA has also developed a set of Q&As based on stakeholder feedback and questions on the disclosure technical standards received by ESMA since 22 August 2018.

Data

Pricings

The US ABS market appears to be picking up now as a number of transactions have priced, with a fairly balanced mix of auto ABS and personal loan/credit card ABS. The CLO market in the US is now also picking up and in Europe CLOs are something of a highpoint, against a backdrop of very low issuance in the European ABS and RMBS space. Notably, the first CMBS transactions of the year have also now priced.

ABS: €5bn BPCE Master Home Loans 2019-1, US$786m CNH Equipment Trust 2019-A, US$1.25bn Discover Card Execution Note Trust 2019-1, £737m E-CARAT 10, US$700m Hertz Vehicle Financings 2019-1, US$218.03m Mosaic Solar Loan 2019-1, US$312.75m Oxford Finance Funding Trust 2019-1, US$171m Prosper Marketplace Issuance 2019-1,  US$543.48m Trillium Credit Card Trust 2019-1, US$815.22 Trillium Credit Card Trust 2019-2.

CLOs: €424.20m Carlyle Euro CLO 2019-1, $466.70m Carlyle Global Market Strategies 2015-5, US$732.75m CarVal CLO II, €515m Crosthwaite Park CLO, US$602m Neuberger Berman CLO 32, US$406.60m PPM Loan Management Company 2019-2, US$508.8m Sound Point CLO XXII.

CMBS: US$883.5m Benchmark 2019-B9, US$751.3m BANK 2019-BNK16.

RMBS: US$349m COLT 2019-1.

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