SCI Start the Week - 15 January

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
Last week saw a ramping up of additions to the pipeline, led by ABS and RMBS. There were seven ABS and an ILS added, along with nine RMBS, a CMBS and two CLOs.

The ABS were: US$1.25bn BMW Vehicle Owner Trust 2018-A; US$1.15bn CarMax Auto Owner Trust 2018-1; CNY4bn Fuyuan 2018-1 Retail Auto Mortgage Loan Securitization Trust; Hertz Vehicle Financing II Series 2018-1; US$393.611m Marlette Funding Trust 2018-1; US$1.223bn Santander Drive Auto Receivables Trust 2018-1; and US$750m Westlake Automobile Receivables Trust 2018-1. The ILS was US$200m Vitality Re IX Series 2018-1.

The RMBS were: US$401.21m COLT 2018-1 Mortgage Loan Trust; Fleet 2018-01; US$463.72m JPMMT 2018-1; Kenrick No.3; Lanark 2018-1; A$750m National RMBS Trust 2018-1; US$500m NRZ 2018-PLS1; Precise Mortgage Funding 2018-1B; and US$462m Sequoia Mortgage Trust 2018-2.

US$192m WFCM 2018-BXI was the CMBS. The CLOs were US$550.875m Neuberger Berman CLO XVI-S and US$409.2m Tralee CLO IV.

Pricings
There were also a few ABS and RMBS prints. The ABS consisted of US$190m CPS Auto Receivables Trust 2018-A, £487m E-CARAT 9 and US$1.227bn GM Financial Consumer Automobile Receivables Trust 2018-1, while the RMBS were £636.5m Finsbury Square 2018-1, €2.266bn Hipototta 13, A$1bn RESIMAC Triomphe Trust RESIMAC Premier Series 2017-3 and €2.268bn STORM 2018-I.

Editor's picks
CRTs coming to America?: Capital relief trades (CRTs) have become an established feature of the European securitisation market, with multi-billion euro deals frequently issued to achieve regulatory capital relief (see SCI's capital relief trades database). Although these transactions have not yet been embraced by US banks, that is expected to change...
Barclays adds to US CRT impetus: Barclays recently completed Colonnade Global 2017-4 Financial Guarantee, a rare US$100m risk transfer transaction referencing a US$1.25bn portfolio of US corporate loans. Adding impetus to a growing American capital relief trades market (SCI 8 January), the jurisdiction of both the deal's counterparty and investor is the US...
UBI Banca debuts SRT: UBI Banca has executed its first capital relief trade, dubbed UBI 2017 RegCap 1. The approximately €100m cash collateralised financial guarantee references a €1.9bn corporate portfolio...

Deal news
• Natixis has closed its first European managed cashflow CLO 2.0 deal. Dubbed Purple Finance CLO 1, the €308.4m transaction is managed by Natixis Investment Managers affiliate Natixis Asset Management and is backed by primarily senior secured euro-denominated leveraged loans and bonds issued by European borrowers.
Quaestio, the Italian rescue fund, has closed its investment in the mezzanine tranche of Monte dei Paschi's €25bn non-performing loan securitisation. The transaction is a crucial part of the restructuring plan that was agreed with European authorities last July and a breakthrough that is expected to boost NPL securitisation deal flow (SCI 5 July 2017).

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