Monday 1 October 2018 11:39 London/ 06.39 New York/ 19.39 Tokyo

A look at the major activity in structured finance over the past seven days

Conference
SCI’s 4th Annual Capital Relief Trades Seminar is taking place on 16 October at One Bishops Square, London. Hosted by Allen & Overy, the event will explore how regulatory change is being reflected in deal structures, as well as examine issuance trends and how the market could expand further in the future. For more information on the seminar, or to register, click here.

Pipeline
ABS dominated the pipeline last week across auto and non-auto asset classes. A handful of RMBS and CMBS were also announced.

The auto ABS remaining in the pipeline by the end of the week comprised Canadian Pacer Auto Receivables Trust 2018-2, US$288.22m GLS Auto Receivables Issuer Trust 2018-3, US$1.25bn GM Financial Consumer Automobile Receivables Trust 2018-4 and PBD Germany Auto 2018. The non-auto deals were US$209.5m Elm 2018-2 Trust, US$293.6m JG Wentworth XLII Series 2018-2, US$1.23bn Verizon Owner Trust 2018-A and US$336.6m Zephyrus Capital Aviation Partners 2018-1.

The £572m Elvet Mortgages 2018-1, A$600m-equivalent Pepper I-Prime 2018-2 Trust and US$454.43m Sequoia Mortgage Trust 2018-8 accounted for the newly-announced RMBS, while the US$157.5m BBCMS 2018-BXH and US$576.2m BX 2018-EXCL represented the CMBS. Finally, €410.7m Oak Hill European Credit Partners VII also began marketing.

Pricings
New issue activity was relatively subdued last week, due to the ABS East conference. A handful of deals priced across the ABS, RMBS and CLO sectors.

Among last week’s ABS prints was €640m Purple Master Credit Cards Notes Series 2018-1, while A$750m-equivalent Liberty Series 2018-3 and €2.9bn Roundstone Securities No. 1 accounted for the RMBS. The CLO pricings included €328.57m Adagio V CLO (refinancing), €411.5m Man GLG Euro CLO V and US$604.8m Palmer Square Loan Funding 2018-4.

Editor’s picks
US CMBS 'not fixed': US CMBS litigation is currently in the spotlight, with one of the largest ever US fraud investigations looking at a potential conspiracy by employees of Morgan Management (SCI 8 June) to fraudulently obtain US$167.5m of loans, some of which back a number of CMBS transactions. Unfortunately, cases such as these may only become more frequent, with a range of issues in both pre- and post-crisis transactions increasing the possibility of severe losses for borrowers and bondholders…

Deal news

  • Standard Chartered has printed its first capital relief trade in three years, dubbed Trade Finance Transaction 2018-1. The bank’s last public trade was a US$135m corporate CLN called Baruntse, which was completed in 2015 (see SCI’s capital relief trades database). It also rolled the Shangren III (Trade Finance) into a new deal in June.
  • Astra Asset Management is suing Goldman Sachs over allegations that the bank engaged in misconduct toward investors, including Astra, regarding the collateral securities that secured the notes issued by Abacus 2006-10. Astra alleges that Goldman made US$70m in gains through breaking the established eligibility criteria on the CDO, as far back as 2006.
  • Together has increased its Charles Street Conduit Asset Backed Securitisation 1 to £1.25bn through refinancing and increasing the size of the facility. The maturity of the facility has also been extended from January 2021 to September 2023.

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