A review of securitisation activity over the past seven days

Transactions of the week
The buy-to-let RMBS market continues to see heavy issuance in Europe with two new transactions marketing this week (SCI 29 May). One is a prime inaugural securitisation from UK marketplace lending firm LendInvest, while the other is a deal backed by nonprime BTL mortgages from two previous securitisations.

LendInvest's debut £259.2m buy-to-let RMBS transaction is dubbed Mortimer BTL 2019-1 and is backed by 713 mortgages extended on residential properties to prime private and commercial borrowers in England, Scotland and Wales.

The transaction benefits from interest coverage ratio criteria that, Moody's says, are stronger than the market average for complex BTL products. Additionally, the portfolio has a relatively low weighted average LTV of 71.1%, while positive excess spread on the deal provides an extra layer of protection.

The second new BTL RMBS is dubbed Stratton Mortgage Funding 2019-1 and the provisional pool totals £407.3m and comprises UK non-conforming BTL and owner-occupied residential mortgages. The issuer will purchase the beneficial interest in an initial portfolio of UK residential mortgages from the seller - Ertow Holdings IV - using the proceeds from the issuance of the rated notes and the unrated Z1 notes.

The provisional pool is backed by legacy loans previously securitised in Residential Mortgage Securities 25 or Moorgate Funding 2014-1.

Other deal-related news

• DBRS has provided the first public rating for a non-performing loan securitisation in Greece as the market awaits European Commission approval for the HFSF's asset protection scheme (SCI 31 May). Dubbed Pillar Finance, the transaction is backed by a €2bn portfolio of principally secured residential mortgage NPLs.
• Credit Suisse has completed its first capital relief trade of the year, dubbed Elvetia Finance series 2019-1 (SCI 29 May). The Sfr336m eight-year CLN references a Sfr5.6bn Swiss SME portfolio and is a replacement trade for Elvetia Finance series 2016-1, following the call of the transaction in May (see SCI's capital relief trades database).
• The US Attorney's Office for the Western District of New York has issued a 114-count superseding indictment charging Robert Morgan, Frank Giacobbe, Todd Morgan and Michael Tremiti with conspiracy to commit wire fraud and bank fraud in a US$500m mortgage fraud scheme (SCI 30 May). KBRA has identified 11 CMBS loans with an unpaid principal balance of US$264.4m that are secured by properties named in the conspiracy, four of which have transferred to special servicing.

Regulatory round-up

• The EBA is set to publish a discussion paper on STS criteria for synthetic securitisations in September, which is expected to further facilitate significant risk transfer through provisions for excess spread and triggers from pro-rata to sequential amortisation (SCI 22 June 2018). However, uncertainty over the risk weights for retained tranches persists (SCI 29 May).
• Uptake of the STS label has been tentative and cannot be credited with the current strong momentum in the European ABS sector (SCI 31 May). This is according to some market participants, which also suggest that greater investor support may be needed for the STS label to flourish.
• The European Commission has published the delegated act for the regulatory technical standards (RTS) on homogeneity, a key requirement in the STS securitisation framework (SCI 29 May). The final text is similar to the standard developed by the EBA, according to Rabobank credit analysts, with some small differences.
• The European Commission has approved, under EU State aid rules, the third extension of the GACS scheme (to 27 May 2021) to facilitate the securitisation of non-performing loans (SCI 29 May). The scheme was initially approved in February 2016 and last extended in August 2018 (SCI 5 September 2018).
• The Reserve Bank of India has formed a committee on the development of a housing finance securitisation market, with a view to reviewing the existing state of mortgage securitisation in the country, the various issues constraining market development and to develop the market further. The bank is calling for a robust and transparent securitisation framework to be created. The committee will submit its recommendations by end-August 2019.

Data

Pricings
A mixed bag of securitisations priced last week, from a variety of jurisdictions. As usual, ABS accounted for the majority of prints, but there was a good showing of RMBS and CLOs too.

Last week's ABS new issues comprised: US$1.3bn Applebee's Funding/IHOP Funding series 2019-1, US$600m CARDS II Trust series 2019-1, US$80m Hana Financial 2019-1, US$800m Kubota Credit Owner Trust 2019-1, US$306.11m Prosper Marketplace Issuance Trust 2019-3, €500m Silver Arrow Merfina 2019-1 and US$938.73m SpringCastle Funding 2019-A. Among the CLO prints were: US$455.7m AIMCO CLO 10, US$499.56m Audax Senior Debt Middle Market CLO I, US$508.05m Dryden 68 CLO, US$507.5m FS KKR Middle Market CLO 1, US$457m HPS Loan Management 14-2019 and US$743.3m Palmer Square CLO 2015-1 (refinancing).

The US$629.05m-equivalent Lanark 2019-2, €422m Media Finance 2019, A$1.75bn SMHL Series Securitisation Fund 2019-1 and US$274.86m Spruce Hill Mortgage Loan Trust 2019-SH1 accounted for the RMBS pricings. Finally, among the CMBS prints was the £226m Scorpio (ELoC 34) deal.

BWIC volume

Podcast
The latest edition of the SCI podcast is ready to download. We take a look at subprime auto ABS servicing and portfolio transfers, the US student loan crisis and the impact of the Carillion and Interserve defaults on the capital relief trades sector. The podcast can be accessed on the website here and it is also available through Spotify and iTunes.

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