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

Pipeline
A mixed bag of securitisations remained in the pipeline at the end of last week. ABS once again accounted for the majority of deals, but a number of CMBS and RMBS were also marketing.

The newly announced auto ABS comprised: US$1.11bn Ally Auto Receivables Trust 2018-3, US$399.32m California Republic Auto Receivables Trust 2018-1, Ford Auto Securitization Trust 2018-B, US$1.24bn GM Financial Automobile Leasing Trust series 2018-2, US$154m Hertz Vehicle Financing II Series 2018-2, US$154m Hertz Vehicle Financing II Series 2018-3 and US$1.11bn Santander Drive Auto Receivables Trust 2018-3. The non-auto related ABS consisted of US$821.5m Business Jet Securities 2018-2, US$699.33m Golden State Tobacco Securitization Corp series 2018A-1, US$350m MVW Owner Trust 2018-1 and US$746m Navient Student Loan Trust 2018-3.

US$466.93m Flagstar Mortgage Trust 2018-4, FT RMBS Prado VI, US$1.1bn Invitation Homes 2018-SFR3, CNY9.96bn Jianyuan 2018-11, £317.5m Malt Hill No. 2, US$437.94m Mill City Mortgage Loan Trust 2018-2, TIAA Bank Mortgage Loan Trust 2018-2 and £273.7m Trinidad Mortgage Securities 2018-1 made up the RMBS in the pipeline. The CMBS were US$1.22bn FREMF 2018-K77, US$400m JPMCC 2018-AON, €247.8m Kantoor Finance 2018 and €282.5m Libra (European Loan Conduit No. 31). The US$278.3m RCMF 2018-FL2 CRE CLO rounds out the newly announced deals.

Pricings
Last week’s pricings spanned a range of asset classes, from esoteric ABS to NPLs. A rare New Zealand RMBS also printed.

The non-auto ABS new issues included: US$130.14m Accelerated Assets 2018-1, €586.35m Aragon NPL 2018, US$279.68m CLUB 2018-P1, US$100m Coinstar Funding Series 2018-1, US$199.29m College Ave Student Loans 2018-A, US$991.78m DEFT 2018-1, US$256.35m FREED ABS Trust 2018-1, US$450m Golden Credit Card Trust series 2018-3, US$147.34m Renew 2018-1, US$686.5m SMB Private Education Loan Trust 2018-B, US$482.5m Trinity Rail Leasing 2018, US$368m Triton Container Finance VI Series 2018-2 and €652m Volta VI. The auto pricings were US$248m American Credit Acceptance Receivables Trust 2018-2, US$299.39m GLS Auto Receivables Issuer Trust 2018-2, €804m BBVA Consumer Auto 2018-1 and €600m SC Germany Auto 2018-1.

The RMBS prints were NZ$150m Avanti RMBS 2018-1 Trust, A$1bn Firstmac Mortgage Funding Trust No. 4 Series 2-2018, €827m 2018 Popolare Bari RMBS and US$1.05bn STACR 2018-DNA2. A handful of CLOs (US$511.65m Mariner CLO 6, US$516.5m Octagon Investment Partners XVI (refinancing) and US$509.6m Trinitas CLO VIII) and CMBS (US$603m Atrium Hotel Portfolio Trust 2018-ATRM and US$166m WFCM 2018-1745) were also issued.

Editor’s picks
Innovative RMBS prepped: Mars Capital is in the market with a non-standard multi-lender £271.055m UK RMBS, dubbed Trinidad Mortgage Securities 2018-1. The transaction is backed by three individual portfolios of new and legacy first- and second-ranking mortgages, secured by residential or part-commercial properties in England and Wales…
IFRS 9 benefit welcomed: The first-time adoption of IFRS 9 has had a muted impact on bank capital ratios and this has been reflected in existing capital relief trades through P&L gains (SCI 14 May). Indeed, the benefit can be acquired whether the first-loss tranche is sold or retained…

Deal news

• Credito Valtellinese (Creval) has completed a €586.35m non-performing loan securitisation with a gross book value equal to €1.67bn, as at the 31 December 2017 cut-off date. The senior notes of the deal – dubbed Aragorn NPL 2018 – are expected to benefit from the GACS guarantee.