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SCI Start the Week - 13 August

Category: ABS Capital Relief Trades CLOs


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

Pipeline
The pipeline remained subdued last week, albeit a good mix of asset classes were represented. ABS accounted for the majority of newly-announced deals, with a handful of RMBS, CMBS and CLOs also marketing.

Newly-announced auto ABS comprised US$398.3m Credit Acceptance Auto Loan Trust 2018-3, US$301m Flagship Credit Auto Trust 2018-3, CNY1.94bn Generation 2018-1, US$978m Santander Drive Auto Receivables Trust 2018-4, US$1.25bn Toyota Auto Receivables 2018-C Owner Trust and US$800m Westlake Automobile Receivables Trust 2018-3. The more esoteric ABS to enter the pipeline were US$1.575bn Applebee's Funding/IHOP Funding Series 2018-1, US$70m CLIF V Holdings Series 2018-1, US$300m Diamond Resorts Owner Trust 2018-1, A$300m Thorn ABS Warehouse Trust No. 1 and US$466.8m Willis Engine Structured Trust IV.

The RMBS consisted of US$655m AmeriHome GMSR Issuer Trust Series 2018-GT1, US$653.28m Bellemeade Re 2018-2, A$388m Liberty Series 2018-1 SME Trust, US$497.95m MetLife Securitization Trust 2018-1 and A$350m Resimac Bastille Trust Series 2018-1NC. Finally, a pair each of CLOs (US$408.4m Anchorage Capital CLO 2018-10 and US$409m TICP CLO XI) and CMBS (US$238m Monarch Beach Resort Trust 2018-MBR and US$692.1m WFCM 2018-C46) were also marketing.

Pricings
A similar mix of asset classes were represented among last week’s pricings. The stand-out print was a UK CMBS.

The non-auto ABS new issues comprised: US$1.25bn Bank of America Credit Card Trust 2018-3, US$1bn Citibank Credit Card Issuance Trust 2018-6, US$358.3m Conn's Receivables Funding Series 2018-A, US$300m Insurance Administration Fee Series 2018-1, US$502.65m Master Credit Card Trust II Series 2018-3, US$675.17m SoFi Professional Loan Program 2018-C and US$287m VSE 2018-A VOI Mortgage. The auto ABS were US$400m Ally Master Owner Trust Series 2018-3, US$400m Ally Master Owner Trust Series 2018-4, US$1.25bn AmeriCredit Automobile Receivables Trust 2018-2 and US$1bn Chesapeake Funding II Series 2018-2.

A number of CLOs also priced: US$663m Apidos XXX CLO, US$512.6m BlueMountain CLO 2018-2, US$718m GoldenTree Loan Opportunities X (refinancing), US$525.1m OHA Loan Funding 2013-I (refinancing), US$505.25m Rockford Tower CLO 2018-2, US$411m Trinitas CLO IV (refinancing) and US$500m York CLO-1 (refinancing). The RMBS prints included: US$2.3bn Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3, US$150m Ocwen Master Advance Receivables Trust Series 2018-T1 and US$150m Ocwen Master Advance Receivables Trust Series 2018-T2.

The US$1.18bn FREMF 2018-K79 and £261.7m Taurus 2018-2 UK CMBS, as well as the US$285m HUNT 2018-FL2 CRE CLO rounded out the issuance.

Editor’s picks
Retention questioned: Questions are emerging over the relevance of risk retention in the context of European non-performing loan securitisations. Given its utility in transferring risk on capital-intensive portfolios, securitisation could play a greater role in resolving Europe’s troubled loan burden if there was regulatory differentiation for such assets…
CRT resilience highlighted: Widening credit spreads and an expected turn in the credit cycle have not induced significant changes in the structuring of capital relief trades, thanks to the positive performance of the asset class. Indeed, investors continue to allocate more capital to the sector…
Project Glas completed: Permanent TSB has completed the sale of Project Glas - a €2.1bn (GBV) portfolio of Irish buy-to-let properties and private dwelling houses (PDHs) - to Lone Star subsidiary Start Mortgages. The transaction is seen as a test case for further Irish non-performing loan disposals, due to its size and its inclusion of PDHs (SCI 16 February)…

Deal news

  • Santander has completed its second FT Pymes Magdalena risk transfer transaction. The €166.3m CLN references a €2.5bn Spanish SME portfolio and pays three-month Euribor plus 8.85%.
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