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

Pipeline
Auto ABS dominated the pipeline once again last week. A handful of other ABS, as well as CMBS and RMBS were also announced.

The auto ABS remaining in the pipeline by the end of the week were: US$1.1bn Ally Auto Receivables Trust 2018-2, US$400m Avis Budget Rental Car Funding Series 2018-1, Bavarian Sky German Auto Loans 8, US$482m Hertz Fleet Lease Funding Series 2018-1 and Securitized Term Auto Receivables Trust 2018-1. The other ABS were US$379.6m CLI Funding VI series 2018-1, Fair Hydro Trust Series 2018-2 and US$1bn Kubota Credit Owner Trust 2018-1. The RMBS comprised US$1.1bn Invitation Homes 2018-SFR2, PMT Issuer Trust - FMSR Series 2018-FT1 and US$380.09m Sequoia Mortgage Trust 2018-5, while €300m TAURUS 2018-1 IT was the sole CMBS.

Pricings
It was a similar story for new issuance last week. ABS accounted for the majority of pricings, although there was a slew of RMBS prints too.

The auto ABS that priced last week consisted of: US$577.3m Canadian Pacer Auto Receivables Trust 2018-1, US$1.33m CarMax Auto Owner Trust 2018-2, €455m Driver Italia One, US$549.97m Exeter Automobile Receivables Trust 2018-2, US$1.06bn Ford Credit Auto Lease Trust 2018-A and US$185.3m Tidewater Auto Receivables Trust 2018-A. The US$318.48m Ascentium Equipment Receivables Trust 2018-1, US$825m Domino's Pizza Master Issuer series 2018-1, US$275m Driven Brands Funding Series 2018-1 and US$197.85m Westgate Resorts 2018-1 ABS were also issued.

The RMBS prints were: A$1.25bn Apollo Series Trust 2018-1, €1bn Ardmore Securities No. 1, €1.2bn FCT Credit Agricole Habitat 2018, £705m Paragon Mortgages No. 25, US$140.13m SG Residential Mortgage Trust 2018-1 and US$249mn Verus Securitization Trust 2018-INV1. Finally, the US$1.29bn FREMF 2018-K75 CMBS rounded the issuance out.

Editor’s picks
Proportional protection reviewed: EU policymakers are currently negotiating an amendment to Article 234 of the CRR that would allow banks to treat first-loss protection as proportional protection. If successful, the move is expected to boost mortgage significant risk transfer issuance…
Swiss mortgage portfolio sale eyed: BNP Paribas last week acquired Raiffeisen Bank Polska (Polbank), the Polish subsidiary of Raiffeisen Bank International (RBI), but carved out from the acquisition a portfolio of mainly Swiss franc-denominated foreign currency residential mortgages. The €3.5bn portfolio derailed earlier attempts by RBI to either sell or IPO Polbank, so Polish financial regulator KNF finally rejected the transfer of the portfolio, which will be retained by a newly established Polish subsidiary of RBI. Sources expect Raffeisen to attempt a sale of the portfolio eventually…

Deal news

• Intesa Sanpaolo and Intrum have agreed to form a strategic partnership in respect of non-performing loans. The agreement involves two transactions, including what is expected to be a landmark securitisation for the Italian market.

Regulatory news

• The New York Fed has begun publishing the Secured Overnight Financing Rate (SOFR), a much-touted Libor replacement, despite industry participants suggesting that a thorough plan has yet to be made for the transition away from the benchmark. At the same time, there is concern over whether enough consideration has been given to the financial products tied to Libor - including securitisations - which will not mature by the Libor 2022 cut-off.