SCI Start the Week - 24 September

Category: ABS Capital Relief Trades CLOs

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

RMBS dominated the newly-announced deals remaining in the pipeline by the end of last week. A handful of CLOs and CMBS, as well as a single ABS also began marketing.

The RMBS comprised US$407.99m CIM Trust 2018-INV1, US$513.9m JP Morgan Mortgage Trust 2018-9, A$491.5m Liberty Series 2018-3, US$662.4m Progress Residential 2018-SFR3 and US$851.58m Towd Point Mortgage Trust 2018-5. US$375m GSMS 2018-3PCK, Key Commercial Mortgage Trust 2018-S1 and US$563m UBS 2018-C13 accounted for the newly-announced CMBS, while US$600m BlueMountain CLO 2018-3 and US$509.25m Oaktree CLO 2018-1 accounted for the CLOs. Finally, Penarth Master Issuer Series 2018-2 also began marketing last week.

Appetite for new issue securitised product remained robust ahead of the ABS East conference. ABS and CLOs accounted for the majority of last week’s pricings.

The auto ABS prints consisted of: US$534m ARI Fleet Lease Trust 2018-B, US$1.06bn Ford Credit Auto Lease Trust 2018-B, US$1.25bn GM Financial Automobile Leasing Trust 2018-3, US$300m Navistar Financial Dealer Note Master Owner Trust II Series 2018-1 and US$407.83m Prestige Auto Receivables Trust 2018-1. A significant amount of credit card paper was also available: US$834.29m American Express Credit Account Master Trust Series 2018-8, US$518.68m American Express Credit Account Master Trust Series 2018-9, US$1bn Synchrony Card Issuance Trust 2018-A1 and US$322.3m World Financial Network Credit Card Master Note Trust series 2018-B. The US$809.93m CNH Equipment Trust 2018-B, US$256.79m Consumer Loan Underlying Bond Credit Trust 2018-P2, US$164.1m Massachusetts Education Funding Authority 2018-A, US$548.66m SoFi Professional Loan Program 2018-D and US$500m Trafigura Securitisation Finance Series 2018-1 rounded out last week’s ABS issuance.

The CLO refinancings consisted of: US$831m ALM VII (R)-2, US$568m CIFC Funding 2014-V, US$326.1m Elevation CLO 2016-5, US$673m Goldentree IX, US$368m Neuberger Berman CLO XXIII, US$376.15m THL Credit Wind River 2014-3 CLO, €372.95m Toro European CLO 2 and Zais CLO 1. Additionally, the CLO new issues were: US$556.93m Allegro CLO IX, US$408.25m Carlyle US CLO 2018-3, US$408m Catamaran CLO 2018-1, US$407.20m Crestline Denali XVII CLO, US$458.78m Eaton Vance CLO 2018-1, US$410m Golub Capital Partners CLO 39(B), US$600m Regatta XV Funding, US$509.35m Venture 34 CLO and US$608m Voya 2018-3.

Finally, the US$1.38bn BANK 2018-BNK14 and US$362.6m SLIDE 2018-FUN CMBS priced, together with the £365m Oak No. 2 and A$1.63bn Medallion Trust Series 2018-1 RMBS.

Editor’s picks
Inaugural infrastructure CRT launched: The African Development Bank, alongside Mariner Investment Group, the European Commission, Mizuho and Africa50, has issued a debut US$1bn capital relief trade backed by a pan-African portfolio of loans to infrastructure projects and financial institutions. The transaction, dubbed Room2Run, is not just a first for the AfDB, but also marks the first ever transaction of its kind between a multi-lateral development bank and private sector investors…
Revised NPL templates published: The EBA has published a revised version of its standardised non-performing loan data templates - first published in December (SCI 15 December 2017) - that aim to facilitate NPL sale transactions across the EU. The crux of the changes is a more dynamic and granular recording of insolvency proceedings in an attempt to capture their complex and varying nature…
GACS expansion?: The recent extension of the GACS guarantee scheme is expected to further fuel Italian non-performing loan securitisation issuance (SCI 5 September). However, the programme is unlikely to be expanded to cover unlikely-to-pay (UTP) loans, due to political constraints…