A review of securitisation activity over the past seven days

Market commentary
Activity levels have been high across European ABS/MBS and CLOs of late, but last week appeared to be easing up ahead of the Global ABS conference (SCI 5 June).

"It's been pretty busy in both primary and secondary over the past couple of weeks," said one trader. "We've seen a lot of new deals being priced in the run up to Barcelona and a fair amount of secondary activity revolving around bid lists."

However, the trader added: "It has felt like people clearing the decks, making space for new issuance and tidying up their books. Equally, I'm not sure how much paper is reaching end-accounts - the dealer bid is pretty significant, given the selling seems to be combining with new issuance and therefore they are taking the lion's share of secondary."

In any event, the BWIC and new issuance pipeline was easing up, though a large auction of mainly GBP ABS/MBS was holding participants' attention. "I heard that all the line items traded, but we've not yet seen covers or had any colour as to where it ended up. It was an odd list in that it involved a bunch of fairly small pieces, but they were from all parts of the capital structure in different deals, so everyone was interested," said the trader.

Transaction of the week
Lineage Logistics Holdings is in the market with a CMBS backed by 14 temperature-controlled and ambient storage industrial properties located throughout the UK. Dubbed Cold Finance, the deal securitises a £282.8m floating-rate senior loan advanced to four borrowers - Wisbech Propco, Real Estate Gloucester, Harley International Properties and Yearsley Group - ultimately owned by Lineage (SCI 3 June).

The loan refinances an initial bridge facility provided by Goldman Sachs for the acquisition of the Yearsley Group in November 2018 and a further refinancing of two existing UK cold storage assets. The Yearsley Group owns 12 temperature-controlled storage facilities, with five of the assets providing a mixture of chilled and ambient storage options and the remainder offering frozen storage. The ongoing management of the portfolio will be brought within Lineage's operations, which is part of a wider European platform established in 2017, according to DBRS.

The portfolio's net lettable area of 2.6 million square-feet was 77.8% utilised by over 1000 customers over a 12-month period ending in December 2018. The top 10 customers contributed 49% of the total sum invoiced last year (£87m). The top two customers - Brakes and Unilever - account for approximately 22% of the total sum invoiced.

Other deal-related news

• UniCredit has expanded its Sandokan non-performing loan ABS programme. While the transaction is being carried out for asset management purposes, deconsolidation is expected to be achieved at some point, with the bank aiming for a gradual approach in order to mitigate the P&L impact of the deleveraging (SCI 7 June).
• Ten UK RMBS transactions have call dates during the remainder of the year and the refinancing of these deals should boost issuance volumes (SCI 18 January). However, while the incentives and conditions for exercising these calls are present, funding issues could raise obstacles (SCI 5 June).
• StockCo has launched the first securitisation warehouse transaction in Australia consisting of financing receivables primarily secured by livestock. The transaction has been completed with Goldman Sachs and the facility will be available for three years, initially to accommodate up to US$150m of livestock receivables, subject to pre-agreed eligibility criteria (SCI 7 June).
• The African Development Bank has approved a €100m partial credit guarantee (PCG) to African Agriculture Impact Investments (Mauritius) to develop commercial agriculture in Africa. The company will leverage the PCG to catalyse additional financing from international pension funds through an agri-linked note to facilitate investments in sustainable farmland and agricultural infrastructure across Africa (SCI 4 June).
• Following the loan EOD on the Maroon loan securitised in Elizabeth Finance 2018-1,  the servicer CBRE confirmed that a special servicing transfer event has occurred. CBRE met with the borrower and mezzanine lender to discuss the current situation and subsequently served a mezzanine intention notice to confirm whether the mezzanine lender intends to exercise its intercreditor agreement rights (SCI 4 June). 
• Five of the care homes securing the Ashbourne loan securitised in the ECLIP 2006-1 and ECLIP 2006-4 CMBS have closed, four of which are being marketed for sale. The formal sales process for 14 operating care homes began the week commencing 3 June, while a new operating agreement is in place for the Northern Ireland portfolio that provides for a structured sale of the properties. For more CMBS-related news, see SCI's CMBS loan events database.

Regulatory round-up

• The Alternative Reference Rates Committee has released recommended contractual fallback language for US dollar Libor-denominated securitisations, which proposes a hardwired approach regarding triggering events and the waterfall for rate determination. It also addresses the unique challenges presented by the securitisation market's asset and liability components (SCI 4 June).

Data

Pricings
ABS and RMBS issuance was tied last week, in terms of the number of deals pricing. A handful of CLOs also printed, as well as a CMBS.

Last week's non-auto ABS issuance comprised £285m NewDay Funding 2019-1, US$657m SMB Private Education Loan Trust 2019-B, US$1.12bn Verizon Owner Trust 2019-B and US$150.72m Welk Resorts 2019-A. The auto ABS were US$1.11bn Ally Auto Receivables Trust 2019-2 and US$800.03m AmeriCredit Automobile Receivables Trust 2019-2.

Notably, UK transactions accounted for half of last week's RMBS prints: £350m Bowbell No. 2, US$365.1m Gold Creek Asset Trust 2019-NQM1, £259.2m Mortimer BTL 2019-1, A$1bn Progress 2019-1 Trust, £259.2m Stratton Mortgage Funding 2019-1 and A$1bn Torrens Series 2019-1. Among the CLOs issued were US$508.2m Benefit Street CLO XVII, US$367.75m Elevation CLO 2015-4 (refinancing), US$456.25m Elm CLO 2014-1 (refinancing), €332.6m Fair Oaks Loan Funding I and €411.20m St Paul's CLO XI. Finally, the US$229.9mn COMM 2019-521F CMBS also priced.

BWIC volume

SCI Magazine
The latest edition of the SCI Magazine is available to download. It features an interview with the World Bank, as well as articles on the impact of the STS framework, auto loan portfolio transfers, capital relief trade credit events and the challenges facing the US student loan ABS sector.

Upcoming SCI event
Middle Market CLOs, 26 June, New York