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

Pipeline
The transactions remaining in the pipeline by the end of last week were spread fairly evenly across ABS, CMBS and RMBS. A whole business securitisation was also marketing.

The newly-announced ABS comprised US$500m Ally Master Owner Trust Series 2018-2, US$221.94m Avant Loans Funding Trust 2018-A, US$2.25bn Honda Auto Receivables 2018-2 and US$676.29m MMAF Equipment Finance Series 2018-A. The RMBS consisted of Charter Mortgage Funding 2018-1, US$329.05m Flagstar Mortgage Trust 2018-3INV and Green Apple 2018-1 NHG, while the CMBS were US$370m Braemar Hotels & Resorts Trust 2018-PRME, US$713.1m JPMDB 2018-C8 and US$730.4m UBS 2018-C10. The US$1.05bn LNCR 2018-CRE1 CLO and US$1bn Hardee's Funding/Carl's Jr Funding whole business securitisation rounded out the deals that were marketing last week.

Pricings
ABS once again dominated last week’s prints, split between autos and other assets. A number of CLOs and RMBS also priced.

The auto ABS new issues consisted of: US$1.1bn AmeriCredit Automobile Receivables Trust 2018-1, US$450m Credit Acceptance Auto Loan Trust 2018-2, US$1.27bn Drive Auto Receivables Trust 2018-2, US$223.06m Flagship Credit Auto Trust 2018-2, US$1.58bn Ford Credit Auto Owner Trust 2018-A, £405m Globaldrive UK 2018-A and €400m RevoCar 2018. The other ABS prints included: US$900m American Express Credit Account 2018-4, US$622.41m American Express Credit Account 2018-5, US$774.88m CNH Equipment Trust 2018-A, US$196m Global SC Finance IV, US$187.8m HERO Funding 2018-1, US$521m Navient Private Education Loan Trust 2018-B and US$565.63m SCF Equipment Leasing 2018-1.

The CLO pricings were made up of refinancings and new issues: US$726.13m ALM XII (second refinancing), US$1.26bn Ares XXXIR CLO (second refinancing), €418.5m Cadogan Square CLO VII (refinancing), US$487.8m Carlyle Global Market Strategies CLO 2015-2 (refinancing), €455.9m CVC Cordatus Loan Fund III (refinancing), US$510.55m HPS Loan Management 12-2018, €410.85m Milltown Park CLO, US$513m Regatta XI Funding 2018-1 and US$504.19m Trestles CLO II. The RMBS prints comprised: £2.735bn Durham Mortgages A, £2.357bn Durham Mortgages B, €588m Green STORM 2018-I and the US$567.85m-equivalent Resimac Premier Series 2018-1. Finally, the US$901.17m BANK 2018-BNK12 CMBS was issued last week.

Editor’s picks
IFRS 9 first-time impact gauged: Banks have begun releasing their first quarterly results for this year, with the reports suggesting a limited impact from the first-time adoption of IFRS 9. However, the lack of a requirement to restate comparative figures means that the potential volatility in reporting generated by the accounting standard’s three credit stages will have to be monitored over time. Furthermore, banks appear not to be disclosing details around the categorisation of stage one and two assets…
Split-mortgage securitisation mulled: Permanent TSB has pulled €900m of split mortgages from its Project Glas portfolio sale of approximately €4bn of distressed Irish mortgages. The need to maintain borrower relationships and regulatory challenges over the treatment of split mortgages raise the prospect of the securitisation route for these loans…
NPL servicing still needs strengthening: Inadequate servicing capability for non-performing loans - largely in Italy and Greece - is hampering securitisation activity and stemming investor inflows, according to panellists at SCI’s recent NPL securitisation event. Nevertheless, improvements are gradually being made to bolster servicing infrastructure, supported by regulatory changes and European Council proposals…
Securitisation 'right tool' for NPL disposals: Participants at a recent SCI seminar on non-performing loan securitisation were optimistic about the role of ABS in facilitating disposals of troubled loans across Europe, with or without government guarantees. Concerns persist, however, that work still needs to be done in several jurisdictions in terms of professionalising servicing capabilities and standardising securitisation procedures…