SCI Start the Week - 12 February

Category: ABS Capital Relief Trades CDO


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

Pipeline
It was yet another busy week of pipeline additions. There were nine ABS, 11 CLOs, three CMBS and five RMBS.

The ABS were: US$550.94m ARI Fleet Lease Trust 2018-A; US$500m Credit Acceptance Auto Loan Trust 2018-1; €738.8m Driver Fourteen; €1.5bn FADE Series 32; US$1.25bn GM Financial Automobile Leasing Trust 2018-1; US$507.47m Navient Private Education Refi Loan Trust 2018-A; US$230m Orange Lake Timeshare Trust 2018-A; Private Driver UK 2018-1; and US$1.1bn Vantage Data Centers Issuer Series 2018-1.

The CLOs were: US$480.4m AREIT 2018-CRE1; €469m Avoca CLO XV (refi); Babson Euro CLO 2018-1; Bain Capital Euro CLO 2018-1; US$510.2m BDS 2018-FL1; Bosphorus IV CLO; €362m Euro-Galaxy VI CLO; GoldenTree Loan Management EUR CLO I; Penta CLO 4; Providus CLO 12; and Toro CLO 5.

US$1.5bn Benchmark 2018-B2, US$124.45m Natixis Commercial Mortgage Securities Trust 2018-ALXA and US$236m VB-S1 Issuer Series 2018-1 constituted the CMBS. The RMBS were US$381.54m EverBank Mortgage Loan Trust 2018-1, US$487.7m Flagstar Mortgage Trust 2018-1, US$430m NRZ 2018-PLS2, US$345.5m Progress Residential 2018-SFR1 and Sapphire XVIII 2018-1.

Pricings
There was a more even distribution of deals departing the pipeline. There were seven ABS prints along with five CLOs, five CMBS and three RMBS.

The ABS were: US$750m Ally Master Owner Trust Series 2018-1; €653m Bumper 10; US$305.694m CCG Receivables Trust 2018-1; US$544.83m GreatAmerica Leasing Receivables Funding Series 2018-1; US$200m PFS Financing Corp Series 2018-A; US$400m PFS Financing Corp Series 2018-B; and US$750.41m Volvo Financial Equipment Series 2018-1.

The CLOs were: US$510m Atlas X; €458.3m Barings Euro CLO 2018-1; US$368.1m VMC Finance 2018-FL1; US$421.6m Voya CLO 2016-1 (refi); and US$461m ZAIS CLO 8.

The CMBS were: US$400m BBCMS 2018-RRI; US$195m CFCRE Trust 2018-TAN; US$189.1m CGCMT 2018-TBR; US$471m InTown Hotel Portfolio Trust 2018-STAY; and US$395m JPMCC 2018-ASH8.

Lastly, the RMBS were: US$1.494bn CAS 2018-C01; US$916.6m Invitation Homes 2018-SFR1; and A$2.03bn National RMBS Trust 2018-1.

Editor's picks
Carillion impact gauged
: Capital relief trade issuers and investors have been assessing the effect of Carillion's default on the market, following news of its impact on HSBC's Metrix transaction (SCI 19 January). Market consensus indicates that such a default is an idiosyncratic event...
Gearing up for green: Two pilots funded by Horizon 2020 - the EU programme for research and innovation - are set to launch next month that should boost the development of green securitisation in Europe. One is a project to develop PACE ABS across the region and the other aims to create a standardised energy efficient mortgage...
Key CMBS pillars hold steady: New US CMBS transactions are generally seeing signs of improving credit quality. This challenges recent rating agency criticisms that there has been a fall in the quality of the underlying loans...
GNMA aims to stop churn: In a move which should be a net benefit to RMBS, Ginnie Mae has taken steps to address churning in its RMBS programme, both to keep mortgage rates affordable and to preserve liquidity in the security. To that end, it has notified a "small number" of issuers who are outliers among market participants in the Ginnie Mae multi-issuer MBS on the metric of prepayment speeds that such deviations from market norms are not acceptable...
Intesa leads asset management shift: Intesa Sanpaolo announced this week a four-year plan to halve its non-performing loan exposures by 2021 by boosting fee income and selling its servicing platform. The lender has led the shift in fee-earning businesses among Italian banks, which coincides with low interest rate pressure on interest margins and ECB demands for a reduction in bank NPL volumes (SCI 4 October 2017)...

Deal news
• Navient is tapping the ABS market for the first time after acquiring online lender Earnest. Its latest US$507.47m transaction, dubbed Navient Private Education Refi Loan Trust 2018-A, is backed by fixed-rate refinanced student loans first originated by Earnest and subsequently acquired by Navient to circumvent competition clauses since its split from Sallie Mae last year.
• Blackstone is tapping the market with a €403.81m Italian CMBS. The transaction, dubbed Pietra Nera Uno, is a securitisation of three senior commercial real estate loans and two pari passu-ranking capex facilities advanced to three Italian borrowers.
• The IBRD has printed the largest sovereign risk transfer transaction ever and the second-largest catastrophe bond issuance. The landmark deal provides US$1.36bn in earthquake protection to Mexico, Chile, Colombia and Peru, marking the first time the latter three countries have accessed the capital markets to obtain insurance for natural disasters.

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