SCI Start the Week - 22 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 pipeline additions return to favouring ABS. There were seven ABS added, along with three RMBS, four CMBS and three CLOs.

The ABS were: US$442m AASET 2018-1; US$1.115bn Ally Auto Receivables Trust 2018-1; US$580.78m Exeter Automobile Receivables Trust 2018-1; US$1.09bn Ford Credit Auto Owner Trust 2018-REV1; US$580.8m Navient Student Loan Trust 2018-1; US$170m Sonic Capital Series 2018-1; and US$1.25bn Toyota Auto Receivables 2018-A Owner Trust.

US$316.9m Galton Funding Mortgage Trust 2018-1, US$900m STACR Series 2018-DNA1 and US$242m Verus Securitization Trust 2018-1 were the RMBS, while the CMBS were US$1.2bn Benchmark 2018-B1, US$189.1m CGCMT 2018-TBR, US$235m Natixis Commercial Securities 2018-285M and US$912m Tharaldson Hotel Portfolio Trust 2018-THPT.

The CLOs were a US$417.25m Canyon Capital CLO 2014-1 reset, as well as €2.835bn FT PYMES Santander 13 and US$509m Vibrant CLO VIII.

Pricings
There were nine ABS prints and 10 CLOs. There were also two UK RMBS: £383m Kenrick No.3 and £255m Precise Mortgage Funding 2018-1B.

The ABS were: US$1.25bn BMW Vehicle Owner Trust 2018-A; US$1.35bn CarMax Auto Owner Trust 2018-1; US$1bn Hertz Vehicle Financing II Series 2018-1; US$293.47m Marlette Funding Trust 2018-1; US$634.92m Master Credit Card Trust II Series 2018-1; US$1.286bn Mercedes-Benz Auto Lease Trust 2018-A; US$1.13bn Santander Drive Auto Receivables Trust 2018-1; US$912.19m SoFi Professional Loan Program 2018-A; and US$1bn Westlake Automobile Receivables Trust 2018-1.

The CLOs were: US$653m Greywolf CLO 2015-1R; US$525m HPS Loan Management 4-2014; US$376m Jamestown CLO 2015-8R; US$470m Magnetite 2015-16R; US$512m MidOcean Credit CLO VIII; US$350m Mountain View CLO 2015-10; US$511.2m Octagon Investment Partners 35 CLO 2018-1; US$329.2m Telos 2013-4R; €357.5m Tymon Park CLO (refi); and US$463m Venture CLO 2014-16R.

Editor's picks
Carillion liquidation met with cautious optimism: The Irish Stock Exchange announced this week that a company, believed to be liquidated construction giant Carillion, triggered a credit event for HSBC's US$300m CLN dubbed 'Metrix portfolio distribution'. Despite the event, the market's initial reaction remains cautiously optimistic given the sturdy performance of synthetics over the last four years...
Non-QM tipped as 'next opportunity': Last year marked the beginning of a transition from a post-crisis distressed recovery trade to a more efficient market for the US securitisation sector, underpinned by robust performance and favourable economic conditions. Against this backdrop, mortgage credit and private credit financings are expected to remain a strong source of risk-adjusted returns...
AnaCap extends Romanian foothold: A consortium led by AnaCap, Czech debt recovery firm APS and Deutsche Bank has won the bid for a non-performing loan portfolio put up for sale by Alpha Bank Romania. The €360m corporate transaction coincided with another €50m Romanian retail NPL transaction between Alpha Bank and B2Holding...

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