SCI Start the Week - 19 February

Category: ABS CDO CLOs


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

Upcoming event
SCI Risk Transfer & Synthetics Seminar - 13 March, New York
SCI's Synthetic Securitisation Seminar provides an in-depth exploration of how synthetic securitisation is being utilised to transfer risk, achieve capital relief and create bespoke investment opportunities in the post-financial crisis environment. Panels cover capital relief trade structuring and regulatory considerations, issuance trends, index tranches and mortgage credit risk transfer.

Pipeline
There were a dozen ABS added to the pipeline last week, but only one CLO. There were four commercial MBS and one residential.

The ABS were: US$197.549m Amur Equipment Finance Receivables V Series 2018-1; Asset-Backed European Sec Transaction 15; US$608m Business Jet Securities Series 2018-1; C$632.9m Ford Auto Securitization Trust Series 2018-A; US$1.08bn Honda Auto Receivables 2018-1 Owner Trust; US$1.034bn Hyundai Auto Lease Securitization Trust 2018-A; US$753.19m John Deere Owner Trust 2018; US$1.3bn Nissan Auto Receivables 2018-A Owner Trust; US$525.74m OneMain Financial Issuance Trust 2018-1; US$175m Oportun Funding VIII Series 2018-A; US$175m Purchasing Power Funding 2018-A; and €1bn Red & Black Auto Germany 5.

€413.7m Ares European CLO IX was the CLO. The CMBS were US$365m GS Mortgage Securities Corporation Trust 2018-CHILL, US$475m Hilton Orlando Trust 2018-ORL, US$640m SBA Tower Trust Series 2018-1C and US$300m UBSCM 2018-NYCH, while the RMBS was US$480m Sequoia Mortgage Trust 2018-3.

Pricings
There were 11 ABS prints, as well as 12 CLOs, a pair of CMBS and four RMBS.

The ABS were: US$550.94m ARI Fleet Lease Trust 2018-A; US$1.575bn Bank of America Credit Card Trust 2018-A1; US$192.94m BCC Funding XIV Series 2018-1; US$500m Credit Acceptance Auto Loan Trust 2018-1; US$880m Drive Auto Receivables Trust 2018-1; €854m Driver Fourteen; €1.5bn FADE Series 32; US$200m Flagship Credit Auto Trust 2018-1; US$1.25bn GM Financial Automobile Leasing Trust 2018-1; US$507.47m Navient Private Education Refi Loan Trust 2018-A; and US$230m Orange Lake Timeshare Trust 2018-A.

The CLOs were: €469m Avoca CLO XV; €473.5m BlackRock European CLO 2016-1; US$457.88m Crown Point 4 CLO 2018-4; US$469m ECP CLO 2015-7; US$517.86m HPS Loan Management 2015-6; US$380m ICG US CLO 2014-2; US$410m KKR CLO 13 2012-1; US$527.55m Northwoods Capital XVII 2018-17; US$509.9m Palmer Square CLO 2018-1; US$436.05m Steele Creek CLO 2014-1; US$932.4m TPG 2018-FL1; and US$666m Venture XII 2012-12.

€403.81m Pietra Nera Uno and US$1bn UBS 2018-C8 were the CMBS. The RMBS were US$296.03m Citigroup Mortgage Loan Trust 2018-RP1, €1.326bn FORDless STORM 2018, £1.05bn Silverstone 2018-1 and £250m Tolkien Funding Sukuk No.1.

Editor's picks
IFRS 9 credit event pay-out challenged: Synthetic securitisations are unlikely to trigger CDS credit events following an increase in IFRS 9 provisions, given that such events are expected to be traditionally defined. Capital relief trade issuers therefore do not expect much disruption from IFRS 9 transactions, other than the added benefit of mitigating the accounting standard's provisioning impact...
'Academic' SBBS to 'lack demand': A European Systemic Risk Board task force has published a paper arguing that European safe bonds, SBBS (SCI 7 July 2017), are a plausible concept under "certain conditions". The programme has its critics, however, who suggest that the bonds may be plausible from an academic perspective but lack any demonstration of how they may work in practice...
French ABS to benefit from new regime: The creation of a new SPV regime in France (SCI 11 October 2017) will boost the country's ABS sector by simplifying the existing investment framework and streamlining the origination of loans and structuring of transactions. It is also hoped that the new vehicle will enable France to compete with other jurisdictions in attracting foreign capital for a range of credit initiatives...
'Test case' mortgage deal disclosed: Permanent TSB unveiled this week its Project Glas portfolio of distressed mortgages, as the Irish lender seeks to offload approximately €4bn of non-performing loans. The portfolio is understood to comprise a mix of buy-to-let and home loan assets and is being seen as a test case for further Irish NPL issuance...
Risk retention relief for CLOs: The US Court of Appeals for the DC Circuit last week reversed a lower court decision and ruled in favour of the LSTA in its lawsuit against the SEC and the US Fed, concluding that open-market CLO managers are not subject to risk retention rules. The outcome is expected to benefit smaller CLO managers, as well as boost the supply of refinancings and resets...

Deal news
• Two more firms have launched inaugural CRE CLOs, with a US$480.4m transaction from Argentic Silverpeak and a US$510.2m transaction from Bridge Investment Group. The transactions are further examples of a surge in CRE CLO issuance since the start of 2018, indicating a trend of investment firms favouring the CLO structure over traditional CMBS, particularly due to the flexibility the structure offers for financing transitional properties.
• Obvion has preplaced a static RMBS that does not feature a time call option. Dubbed FORDless Storm 2018, the €1.41bn securitisation is backed by mortgages on residential properties located in the Netherlands extended to 6,863 prime borrowers.

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