SCI Start the Week - 16 July

Category: ABS Capital Relief Trades CDO

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

Marketing of new securitisations continued to gain momentum last week, following the Independence Day holiday. A broad mix of asset classes remained in the pipeline on Friday.

Auto ABS accounted for the majority of newly-announced deals, including: US$1.2bn CarMax Auto Owner Trust 2018-3, US$1.01bn Drive Auto Receivables Trust 2018-3, US$493m Exeter Automobile Receivables Trust 2018-3, US$811.81m Ford Credit Auto Owner Trust 2018-REV2, US$1.01bn Mercedes-Benz Auto Receivables Trust 2018-1, US$1bn Nissan Auto Receivables 2018-B, US$535.69m OneMain Direct Auto Receivables Trust 2018-1, US$451.8m Oscar US 2018-2, CNY3.83bn VINZ 2018-2 and US$522.9m Wheels SPV 2 Series 2018-1. The other ABS currently being marketed include: US$109.33m CLEAN 2018-1, Eagle Credit Card Trust Series 2018-1, US$861m John Deere Owner Trust 2018-B, US$201.07m Marlin Receivables 2018-1, US$631.9m Navient Private Educational Refi Loan Trust 2018-C, US$1bn Nelnet Student Loan Trust 2018-3, US$1.23bn Planet Fitness Master Issuer Series 2018-1 and US$450m Thunderbolt II Aircraft Lease.

Meanwhile, the US$217.3m BBCMS 2018-CBM, US$1.2bn BHMS 2018-ATLS, US$270m GPT 2018-GPP, US$810.71m GSMS 2018-GS10, C$351.79m REAL-T 2018-1 and US$330m WFCM 2018-AUS deals account for the CMBS remaining in the pipeline. The RMBS are £214.9m Gemgarto 2018-1, US$416.96m Sequoia Mortgage Trust 2018-CH3 and US$489.57m Verus Securitization Trust 2018-2.

US$460m BlueMountain CLO 2018-1, €350m BNPP AM Euro CLO 2018 and US$458.88m Romark CLO-II are among the CLOs in the pipeline, with the US$329.74m M360 2018-CRE1 CRE CLO also marketing.

It was a quieter week for new issuance, however. A mix of ABS, CLOs and RMBS priced.

Last week’s auto ABS prints consisted of US$230mn CPS 2018-C, US$1.23bn GMCAR 2018-3 and €808m Silver Arrow Compartment 9, while US$650m Gracechurch Card Programme Funding Series 2018-1, US$500mn SRFC 2018-2 and €1.21bn Sunrise SPV 40 (re-offer) made up the consumer ABS prints. The US$523.25m-equivalent Triton Trust No. 8 Series 2018-1 and £307m Twin Bridges 2018-1 accounted for the RMBS pricings.

Among the CLO refinancings were: US$514.10m Apidos CLO XX, US$452.4m Canyon Capital CLO 2012-1R, US$624.78m Cent CLO 21, US$259.18m Mountain Hawk II CLO, US$405.35m Race Point X, US$653.10m Sound Point V-R and US$523.95m Voya CLO 2014-4. Finally, the €412.10m BlackRock European CLO VI rounded out last week’s issuance.

Editor’s picks
Return to form?: A number of issuers are working on CRE capital relief trades, including some UK banks that issued CRE deals in 4Q17 (see SCI’s CRT database), with a view to closing before year-end. However, some of these transactions suggest that the asset class may potentially be returning to more traditional significant risk transfer structures and investors…
Article 14 negotiations begin: Trilogue discussions between the European Parliament, the European Commission and the European Council have begun on a compromise package that includes an amendment to Article 14 of the CRR. If ratified, the amendment would preclude non-EU subsidiaries of European banks from complying with all the requirements in Chapter Two of the new securitisation regulation…
Multi-originator GACS deal debuts: Iccrea Banca, the cooperative group owned by multiple Italian mutual banks, has issued a €1bn NPL securitisation of primarily secured loans. The deal is the first multi-originator GACS securitisation, as smaller Italian banks group together to offload the risk of larger NPL portfolios (SCI 29 June)…

Deal news

  • Barclays, Varde Partners and Guber Banca have acquired a €1.4bn non-performing loan portfolio originated by 53 cooperative, rural and popolari banks spread throughout Italy. The pool was purchased at 10%-13% of GBV and transferred to a securitisation vehicle dubbed Futura SPV.