A review of securitisation activity over the past seven days

Market commentary
European secondary ABS activity was on hold last week ahead of a large BWIC auction due on 28 February (SCI 21 February).

"Secondary activity has dampened down in the run-up to the auction," confirmed one trader. "The BWIC has a good chance of trading well, despite the block sizes on offer. Although dealers don't appear to have much appetite for the paper, the lack of primary issuance is playing into the seller's hands in terms of investor demand."

The 24-item bid-list comprises around £750m of UK risk, across mainly senior RMBS 2.0 bonds, with a handful of legacy names and three 2018-vintage CMBS bonds.

Meanwhile, a flurry of Trups CDO activity was keeping traders engaged in the US (SCI 20 February). One trader highlighted a portfolio of PRETSL B tranches - totalling US$87m - out for the bid. Investor appetite is, however, uncertain as "the market has been pickier recently in its choices".

Elsewhere, activity has been somewhat muted. "The CLO market has been quiet recently and we haven't seen great volumes traded," the trader said.  "We're in something of an in-between phase this week, after a long weekend and the conference at the end of the week."

The trader suggested that there is a "slight preference for shorter deals" in secondary and a general move towards trading conservatively and for relative value.

Deal-related news

• The US bankruptcy court in Dallas has confirmed Acis Capital Management's Chapter 11 restructuring plan, following its conversion from an involuntary bankruptcy case initiated by former head of Highland Capital Management's structured products team and founder/former partner in Acis Joshua Terry (SCI 9 November 2018). Upon emergence from bankruptcy, Acis will be owned and operated by Terry, and the plan of reorganisation proposes to pay creditors in full (SCI 19 February).
• Weinberg Capital is set to issue and settle ABCP notes via a distributed ledger technology-based online electronic platform during a pilot phase. The platform will also record the ownership of the DLT ABCP notes, which will rank pari passu and benefit from the same security as other ABCP notes issued by Weinberg Capital, including full liquidity support and indemnity provided by the programme administrator LBBW (SCI 19 February).
• The first US CLO applicable margin reset (AMR) auction on the KopenTech platform is likely to occur in February 2020, at the end of the respective deal's non-call period and two years after the auction service provider's launch (SCI 30 January). However, while many CLO managers recognise the value of including a low-cost, streamlined refinancing option in their deals, they remain cautious about concerns from anchor investors and arrangers (SCI 19 February).
• The Finsbury Square 2016-1 RMBS issuer has disclosed discussions with the Northview Group in relation to the purchase of the loans in the underlying mortgage pool. Such discussions may lead to the redemption of the notes, although it states they are ongoing and preliminary in nature (SCI 21 February). 
• An SPA has been signed for the 10 remaining properties securing the Target Portfolio loan securitised in the TITN 2006-3 CMBS for €100m. Completion is expected at end-March, after which the proceeds will be applied on the April IPD. For more CRE-related news, see SCI's CMBS loan events database.

Regulatory round-up

• With only two years to go until Libor is officially phased out in 2021, a number of questions still remain about the ramifications for structured finance transactions. Aside from the lack of concrete replacement, there are also questions about legacy deals, assets and liabilities and swaps complications as well as the possibility for bondholder disputes (SCI 19 February).
• On 31 January, ESMA published a document that amends its draft regulatory technical standards (RTS) on securitisation disclosures by expanding the scope of no data options. The market has welcomed the move, given the compliance challenges in completing templates where the relevant information isn't available (SCI 22 February).
• The Greek government is working on a plan that aims to meet ECB non-performing loan reduction targets and help improve the attractiveness of non-performing portfolios, in particular, distressed mortgages. The plan includes subsidising monthly payments and protects borrowers from foreclosures under certain conditions, although this could render it antithetical to EU state aid rules (SCI 22 February).
• Law firm Pomerantz is investigating claims on behalf of investors in Domino's Pizza, concerning whether Domino's and certain of its officers and/or directors have engaged in securities fraud or other unlawful business practices. The move follows a recent report on the franchisee community website Blue MauMau that a whistleblower report filed with the US SEC details how Domino's allegedly forced and orchestrated an unapproved advertising and promotion increase to franchisees in order to pay a US$1.85bn securitisation transaction with a new partially funded US$1.67bn securitisation debt owed to securitisation entities (SCI 21 February).

Data

Pricings
US ABS once again accounted for the majority of pricings last week. An Australian RMBS print was the highlight for international securitisation investors.

Last week's auto ABS issues comprised: US$174.51m ACC Trust 2019-1, US$161.93m CIG Auto Receivables 2019-1, US$1.06bn Ford Credit Auto Lease Trust 2019-A, US$1.25bn Honda Auto Receivables 2019-1 Owner Trust and US$500m Securitized Term Auto Receivables Trust 2019-1. The non-auto ABS prints consisted of US$1.5bn Capital One Multi-Asset Execution Trust Series 2019-1, US$429.06m MAPS 2019-1, US$496.8m Nelnet Student Loan Trust 2019-1 and US$221.47m Upstart Securitization Trust 2019-1.

Among the CLO prints were US$451.52m Kayne CLO III and US$301.75m Palmer Square Credit Funding 2019-1. Finally, the US$533.42m-equivalent Pepper Residential Securities Trust No. 23 rounded out the issuance.

BWIC volume