A review of securitisation activity over the past seven days
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Market commentary
European ABS primary issuance is gaining momentum, as the second quarter begins (SCI 2 April). Indeed, the variety of deals on offer boosted sentiment last week, with a newly announced marketplace lending securitisation joining the re-performing and non-conforming RMBS in the pipeline (see SCI's deal pipeline).
"The European primary market is a lot busier than it was even a few weeks ago," said one portfolio manager. "Notably, a couple of STS-eligible deals - Obvion's €1bn STORM 2019-I and Venn Partners' €101.8m Cartesian Residential Mortgages Blue - and some UK issues, including Funding Circle's £180m SBOLT 2019-1, are currently marketing."
Bank of Ireland's latest buy-to-let RMBS - the €377.3m Mulcair Securities - also benefitted from a positive reception. "We've seen a few re-performing loan deals out of Ireland over the last couple of years, but Mulcair appears to have the cleanest pool so far. The arrears in the pool are minimal (accounting for 1.4% of the portfolio) and the borrowers have been re-performing for a while, which suggest better credit metrics," the portfolio manager observed.
Given the recent spate of new issuance, market focus largely switched from secondary to primary activity last week. "It is relatively quiet in terms of secondary market activity. A couple of BWICs are circulating, but the names on the lists aren't especially noteworthy," the portfolio manager noted.
Deal-related news
- UK Asset Resolution (UKAR) is selling two separate NRAM portfolios of residential owner-occupied mortgages and unsecured loans to Citi for £4.9bn. The majority of financing for the transaction is being provided by PIMCO and financial completion is expected within the next few weeks, enabling UKAR to repay all outstanding government loans to HM Treasury (SCI 3 April).
- Assured Guaranty (Europe) (AGE) has issued a £135m five-year debt service reserve (DSR) guarantee to benefit Dwr Cymru (Financing) and Dwr Cymru Cyfyngedig, both companies forming part of the Welsh Water group. The guarantee will replace the existing liquidity facilities provided by banks within the Welsh Water group's securitisation structure (SCI 1 April).
- The resolution of the US$200m Independence Mall loan, securitised in WBCMT 2007-C33 and transferred to special servicing in May 2017 (see SCI's CMBS loan events database), has become the highest realised loss recorded on any US retail property tracked by Trepp since 2010. March remittance data indicates that the REO asset in suburban Kansas City, Missouri accounted for 66% of the total losses for the month, with a write-off of US$149.7m (SCI 5 April).
Regulatory round-up
- President Trump has issued a memo on federal housing finance reform, directing officials to develop a plan for administrative and legislative reform. The memorandum highlights the administration's priorities and lays out four broad housing reform goals with respect to the GSEs (SCI 1 April).
- Around 60 legacy UK RMBS with a face value of £29bn could be positively affected by the UK FCA's recent proposal to relax some affordability tests for so-called 'mortgage prisoners', according to Moody's. If a significant number of borrowers are able to refinance under the new rules, some senior bonds could benefit from higher than expected increases in credit enhancement (SCI 2 April).
- The European Parliament on Monday (1 April) postponed a vote on a non-performing loan secondary market directive until next week, increasing the time pressure to reach an agreement with the European Council before May's parliamentary elections. The challenging timeframe is further complicated by controversial parliamentary amendments to the original draft, including higher initial capital for servicers and caps on fees and penalties that the Council may find objectionable (SCI 3 April).
Data
Pricings
The European ABS market recorded its busiest week year to date, with €2.8bn of issuance publicly placed. Overall supply last week was diverse, including a Dutch CMBS, a UK non-standard RMBS and an SME ABS, as well as the usual auto and consumer ABS.
The auto ABS prints comprised: US$193.62m First Investors Auto Owner Trust 2019-1, US$784.54m Ford Credit Floorplan Master Owner Trust A Series 2019-1, US$523.03m Ford Credit Floorplan Master Owner Trust A Series 2019-2 and US$1.01bn Hyundai Auto Receivables Trust 2019-A. Last week's other ABS pricings consisted of: US$188.51m BRE Grand Islander Timeshare Issuer 2019-A, US$208m EDvestinU Private Education Loan Issue No. 2 Series 2019-A, €255.1m Marzio Finance Series 5-2019 (retained), £180.26m SBOLT 2019-1, US$650.29m SCF Equipment Leasing 2019-1 and US$528.3m Trinity Rail Leasing Series 2019-1.
RMBS issuance included A$500m AFG Series 2019-1 Trust, £233m Barley Hill No. 1, €141m Delft 2019, A$400m Sapphire XXI Series 2019-1 and €2.1bn STORM 2019-I. The CMBS pricings were US$296m DBGS 2019-1735, US$1.4bn FREMF 2019-K90 and €246.4m Kanaal CMBS Finance 2019. Finally, the US$687.17m XAN 2019-RSO7 CRE CLO was also issued.
BWIC volume