SCI Start the Week - 14 May

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

ABS accounted for the majority of the deals remaining in the pipeline at the end of last week. A handful of CMBS and RMBS were also announced.

The auto ABS in the pipeline comprise: US$1.13bn AmeriCredit Automobile Receivables Trust 2018-1, US$450m Credit Acceptance Auto Loan Trust 2018-2, US$1bn Drive Auto Receivables Trust 2018-2, US$225.9m Flagship Credit Auto Trust 2018-2, US$1.58bn Ford Credit Auto Owner Trust 2018-A and £405m Globaldrive UK 2018-A. US$774.88m CNH Equipment Trust 2018-A, US$200m Global SC Finance IV, US$154.9m HERO Funding 2018-1, US$305.49m Massachusetts Educational Financing Authority L series 2018, US$521m Navient Private Education Loan Trust 2018-B, SCF Equipment Leasing 2018-1 and SFS Asset Securitization Series 2018-1 make up the remaining ABS.

The newly-announced RMBS were US$645.93m NRZ 2018-FNT1, US$429.33m Pearl Street Mortgage Company 2018-2 Trust, A$500m Series 2018-1 REDS Trust and STACR 2018-HRP1, while the CMBS were US$901.17m BANK 2018-BNK12, £449.8m Ribbon Finance 2018 and US$750m 20 Times Square Trust 2018-20TS.

Pricings

Similarly, ABS made up most of last week’s pricings. Issuance was rounded out by a handful of CLOs.

The auto ABS prints were: US$154.13m FIAOT 2018-1, US$225m Mercedes-Benz Master Owner Trust Series 2018-A, US$525m Mercedes-Benz Master Owner Trust Series 2018-B, US$1.17bn Toyota Auto Receivables 2018-B and US$1bn Westlake Automobile Receivables Trust 2018-2. The US$1.2bn Bank of America Credit Card Trust 2018-2, US$600m Capital One Multi-Asset Execution Trust 2018-1, US$400m Capital One Multi-Asset Execution Trust 2018-2, US$276.84m Lendmark Funding Trust 2018-1 and €4.33bn Siena NPL 2018 also priced.

Finally, US$615.7m Apidos CLO XXIX, US$424m BlueMountain CLO 2016-1 (refinancing), US$512.25m CarVal CLO I, US$485.5m Halcyon Loan Advisors Funding 2018-1, US$499.75m Marathon CLO VI (refinancing) and US$389m Whitehorse X (refinancing) were issued.

Editor’s picks

RMBS double follows UKAR disposal: Barclays is prepping two RMBS - dubbed Durham 1 and 2 - of Bradford & Bingley legacy mortgage loans, after acquiring the remaining £5.3bn portfolio from UKAR (SCI 27 April), although they’re likely to be preplaced. The asset sale and securitisation pay off the remainder of the FSCS loan, which was partially repaid by the previous sale of legacy mortgages to Blackrock and Prudential last year (SCI 4 April 2017)…
Standardised bank issuance picking up: Standardised bank issuance of capital relief trades is picking up, despite the market having long been the purview of larger internal rating based (IRB) banks. This is driven by rating agencies offering more flexible benchmarking and the Juncker plan, which allows the EIF to guarantee both the senior and mezzanine risk…
BMPS deal taps ReoCo: Banca Monte dei Paschi di Siena (BMPS) has completed its much-anticipated non-performing loan securitisation (SCI passim). Dubbed Siena NPL 2018, the €4.33bn transaction securitises exposures equivalent to a gross book value of around €24.07bn and envisages the involvement of a real estate operating company (ReoCo)…

Deal news

  • Goldman Sachs is acting as arranger and lender on a £449.8m UK CMBS dubbed Ribbon Finance 2018. The transaction is a further sign of a resurgence in CMBS activity across Europe, with 2018 on target to surpass the last post-crisis bumper year in 2015.
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